Inputs

Database and Methods

new 01-08-2025

Preços

Cadastro

Managed Volatility

portfolio_name:
- beta_brasil

risk_target:
- ibovfut_av: 2
- brlusdfut_av: 1
- dif3yfut_av: 2

allocation method:
- vol

running allocation...

clusters_weights_resampled
smll_av brlusdfut_av dif3yfut_av
1998-12-31 0.511317 0.340248 0.478290
1999-01-28 0.494910 0.117648 0.437679
1999-02-25 0.492232 0.116226 0.442523
1999-03-25 0.480166 0.114722 0.442452
1999-04-29 0.483165 0.113492 0.441889
... ... ... ...
2025-03-27 0.609365 0.277898 0.492721
2025-04-24 0.588975 0.270443 0.490933
2025-05-29 0.588138 0.271228 0.500357
2025-06-26 0.591941 0.276001 0.518153
2025-07-31 0.576859 0.282246 0.526406

320 rows × 3 columns

clusters_weights
smll_av brlusdfut_av dif3yfut_av cdi
date
1998-12-31 0.511317 0.340248 0.478290 -0.329855
1999-01-01 0.511318 0.340247 0.478291 -0.329856
1999-01-04 0.507028 0.344513 0.475216 -0.326758
1999-01-05 0.503329 0.347161 0.473557 -0.324047
1999-01-06 0.501633 0.347617 0.473380 -0.322631
... ... ... ... ...
2025-07-28 0.583327 0.281609 0.528702 -0.393638
2025-07-29 0.580577 0.281181 0.528932 -0.390690
2025-07-30 0.584039 0.279832 0.524403 -0.388275
2025-07-31 0.576859 0.282246 0.526406 -0.385510
2025-08-01 0.576859 0.282246 0.526405 -0.385510

6937 rows × 4 columns

clusters_weights (pack_only)
smal11_excdi usdbrlfut dif3yfut cdi
date
1998-12-31 0.000000 -3.892852 0.184039 1.0
1999-01-01 0.000000 -3.950090 0.190262 1.0
1999-01-04 0.000000 -3.999551 0.189039 1.0
1999-01-05 0.000000 -4.012046 0.188372 1.0
1999-01-06 0.000000 -4.008558 0.188271 1.0
... ... ... ... ...
2025-07-28 0.271806 -0.254412 1.052535 1.0
2025-07-29 0.273050 -0.253965 1.053655 1.0
2025-07-30 0.272807 -0.253344 1.044527 1.0
2025-07-31 0.257064 -0.255533 1.049492 1.0
2025-08-01 0.256944 -0.255920 1.054336 1.0

6937 rows × 4 columns

securities_weights
smal11_excdi usdbrlfut dif3yfut cdi
date
1998-12-31 0.000000 -3.892852 0.184039 1.0
1999-01-01 0.000000 -3.950090 0.190262 1.0
1999-01-04 0.000000 -3.999551 0.189039 1.0
1999-01-05 0.000000 -4.012046 0.188372 1.0
1999-01-06 0.000000 -4.008558 0.188271 1.0
... ... ... ... ...
2025-07-28 0.271806 -0.254412 1.052535 1.0
2025-07-29 0.273050 -0.253965 1.053655 1.0
2025-07-30 0.272807 -0.253344 1.044527 1.0
2025-07-31 0.257064 -0.255533 1.049492 1.0
2025-08-01 0.256944 -0.255920 1.054336 1.0

6937 rows × 4 columns

cota_gross
date
1998-12-31     1.000000
1999-01-01     0.999997
1999-01-04     1.009145
1999-01-05     1.017254
1999-01-06     1.021389
                ...    
2025-07-28    22.930489
2025-07-29    23.098502
2025-07-30    23.237234
2025-07-31    22.978805
2025-08-01    22.978796
Length: 6937, dtype: float64
cota_net
date
1998-12-31     1.000000
1999-01-01     0.999997
1999-01-04     1.009143
1999-01-05     1.017253
1999-01-06     1.021387
                ...    
2025-07-28    22.830005
2025-07-29    22.997289
2025-07-30    23.135411
2025-07-31    22.878082
2025-08-01    22.878073
Length: 6937, dtype: float64
running sizing...

clusters_weights_resampled_sized
smll_av brlusdfut_av dif3yfut_av cdi
1998-12-31 NaN NaN NaN NaN
1999-01-28 0.049491 0.011765 0.043768 -0.005024
1999-01-29 0.496140 0.116992 0.437169 -0.050301
1999-02-25 0.492232 0.116226 0.442523 -0.050981
1999-03-25 0.480166 0.114722 0.442452 -0.037340
... ... ... ... ...
2025-03-27 0.609365 0.277898 0.492721 -0.379984
2025-04-24 0.588975 0.270443 0.490933 -0.350352
2025-05-29 0.588138 0.271228 0.500357 -0.359723
2025-06-26 0.591941 0.276001 0.518153 -0.386094
2025-07-31 0.576859 0.282246 0.526406 -0.385510

427 rows × 4 columns

clusters_weights_sized
smll_av brlusdfut_av dif3yfut_av cdi
date
1998-12-31 NaN NaN NaN 1.000000
1999-01-01 NaN NaN NaN 1.000000
1999-01-04 NaN NaN NaN 1.000000
1999-01-05 NaN NaN NaN 1.000000
1999-01-06 NaN NaN NaN 1.000000
... ... ... ... ...
2025-07-28 0.586142 0.282968 0.531253 -0.400362
2025-07-29 0.583485 0.282590 0.531581 -0.397657
2025-07-30 0.587075 0.281286 0.527129 -0.395490
2025-07-31 0.576859 0.282246 0.526406 -0.385510
2025-08-01 0.576859 0.282246 0.526405 -0.385510

6937 rows × 4 columns

clusters_weights_sized (pack_only)
smal11_excdi usdbrlfut dif3yfut cdi
date
1998-12-31 0.000000 0.000000 0.000000 1.0
1999-01-01 0.000000 0.000000 0.000000 1.0
1999-01-04 0.000000 0.000000 0.000000 1.0
1999-01-05 0.000000 0.000000 0.000000 1.0
1999-01-06 0.000000 0.000000 0.000000 1.0
... ... ... ... ...
2025-07-28 0.273118 -0.255640 1.057614 1.0
2025-07-29 0.274417 -0.255237 1.058933 1.0
2025-07-30 0.274225 -0.254660 1.049956 1.0
2025-07-31 0.257064 -0.255533 1.049492 1.0
2025-08-01 0.256944 -0.255920 1.054336 1.0

6937 rows × 4 columns

securities_weights
smal11_excdi usdbrlfut dif3yfut cdi
date
1998-12-31 0.000000 0.000000 0.000000 1.0
1999-01-01 0.000000 0.000000 0.000000 1.0
1999-01-04 0.000000 0.000000 0.000000 1.0
1999-01-05 0.000000 0.000000 0.000000 1.0
1999-01-06 0.000000 0.000000 0.000000 1.0
... ... ... ... ...
2025-07-28 0.273118 -0.255640 1.057614 1.0
2025-07-29 0.274417 -0.255237 1.058933 1.0
2025-07-30 0.274225 -0.254660 1.049956 1.0
2025-07-31 0.257064 -0.255533 1.049492 1.0
2025-08-01 0.256944 -0.255920 1.054336 1.0

6937 rows × 4 columns

cota_gross_sized
date
1998-12-31     1.000000
1999-01-01     1.000000
1999-01-04     1.001012
1999-01-05     1.002021
1999-01-06     1.003030
                ...    
2025-07-28    35.954939
2025-07-29    36.219557
2025-07-30    36.438086
2025-07-31    36.030636
2025-08-01    36.030621
Length: 6937, dtype: float64
cota_net_sized
date
1998-12-31     1.000000
1999-01-01     1.000000
1999-01-04     1.001012
1999-01-05     1.002021
1999-01-06     1.003030
                ...    
2025-07-28    35.557195
2025-07-29    35.818898
2025-07-30    36.035006
2025-07-31    35.632011
2025-08-01    35.631997
Length: 6937, dtype: float64
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 -0.0 – – – – 19.4
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 2.8 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.8 3.0 -5.7 0.5 4.1
2023 1.9 -2.3 3.0 1.9 6.5 6.3 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.2
2024 -1.9 -0.4 0.3 -6.1 -1.4 -3.9 1.7 2.0 -1.3 -2.7 -5.1 -5.8 -24.6
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 -0.0 – – – – 19.4
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 0.4 -2.2 -12.2 -1.1 1.4 2.4 3.0 -1.9 -2.4 -1.5 4.4 4.0 -5.7
2021 -2.7 -2.3 0.1 2.8 2.1 0.8 -3.6 -2.8 -4.1 -8.3 1.5 4.6 -11.9
2022 1.1 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.8 3.0 -5.7 0.5 2.4
2023 1.9 -2.3 3.0 1.9 6.5 6.3 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.2
2024 -1.9 -0.4 0.3 -6.1 -1.4 -3.9 1.7 2.0 -1.3 -2.7 -5.1 -5.8 -24.6
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 -0.0 – – – – 19.4
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 1.6 2.3 -0.7 3.6 3.6 4.0 -0.0 1.1 14.2 -3.1 4.6 4.5 35.7
2006 10.2 6.3 -1.6 2.1 -10.0 5.0 2.9 4.1 2.4 5.6 6.4 6.4 39.8
2007 -0.5 1.6 3.6 6.5 7.7 -0.7 -0.5 -7.4 5.1 2.8 -4.4 -1.2 12.6
2008 -2.2 4.4 -5.3 3.7 2.6 -4.0 4.2 -1.3 -9.5 -5.4 1.9 7.8 -3.1
2009 1.5 1.2 2.8 5.6 5.5 -0.1 4.2 2.2 2.8 0.2 3.2 2.9 32.0
2010 -0.8 3.7 1.5 -1.1 0.7 2.6 7.4 4.6 0.8 3.9 -2.8 2.9 23.4
2011 -7.1 3.5 2.5 3.6 2.1 -0.8 -3.0 7.1 -6.8 7.2 2.3 -4.5 6.1
2012 8.9 5.9 0.6 4.6 -3.9 4.2 1.8 3.3 1.9 4.1 -2.5 5.7 34.6
2013 -0.1 -1.5 -3.3 4.5 -9.6 -13.2 -0.7 -5.6 5.3 0.8 -3.5 -0.5 -27.4
2014 -5.5 4.5 2.4 1.9 3.6 2.0 -0.6 5.6 -9.9 -0.0 1.3 -4.7 0.6
2015 -0.7 -0.0 -3.0 2.6 0.5 -0.4 -2.0 -6.3 -4.2 2.4 -0.4 -1.5 -13.0
2016 0.9 3.8 8.6 5.1 -2.1 6.8 5.2 1.0 2.5 3.5 -3.3 2.7 34.7
2017 6.8 4.0 1.1 1.0 -3.5 0.7 5.9 3.0 2.4 -1.6 -0.9 3.4 22.3
2018 3.4 0.8 1.4 -0.5 -7.6 -3.7 4.5 -6.6 0.7 11.8 1.7 2.7 8.6
2019 5.9 -1.2 -0.5 0.8 3.4 6.0 3.6 -2.0 2.8 4.4 -1.7 6.3 27.8
2020 0.4 -2.2 -12.2 -1.1 1.4 2.4 3.0 -1.9 -2.4 -1.5 4.4 4.0 -5.7
2021 -2.7 -2.3 0.1 2.8 2.1 0.8 -3.6 -2.8 -4.1 -8.3 1.5 4.6 -11.9
2022 1.1 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.8 3.0 -5.7 0.5 2.4
2023 1.9 -2.3 3.0 1.9 6.5 6.3 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.2
2024 -1.9 -0.4 0.3 -6.1 -1.4 -3.9 1.7 2.0 -1.3 -2.7 -5.1 -5.8 -24.6
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 -0.0 – – – – 19.4
beta_brasil_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 -0.0 – – – – 19.4
beta_brasil_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 2.8 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.7 2.9 -5.3 0.5 4.3
2023 1.9 -2.3 3.0 1.9 6.5 6.4 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.3
2024 -1.9 -0.4 0.3 -6.1 -0.5 -3.9 1.7 2.0 -1.3 -2.7 -5.2 -4.0 -22.0
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 -0.0 – – – – 19.4
beta_brasil_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 0.4 -2.2 -8.3 -1.9 1.4 2.4 3.0 -1.9 -2.4 -1.5 4.4 4.0 -2.6
2021 -2.7 -2.3 0.1 2.8 2.1 0.8 -3.6 -2.8 -4.1 -8.0 1.4 4.6 -11.7
2022 1.1 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.7 2.9 -5.3 0.5 2.6
2023 1.9 -2.3 3.0 1.9 6.5 6.4 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.3
2024 -1.9 -0.4 0.3 -6.1 -0.5 -3.9 1.7 2.0 -1.3 -2.7 -5.2 -4.0 -22.0
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 -0.0 – – – – 19.4
beta_brasil_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 1.6 2.3 -0.7 3.6 3.6 4.0 -0.1 1.1 12.5 -3.2 4.6 4.5 33.8
2006 10.2 6.4 -2.7 2.1 -10.4 4.9 2.9 4.1 2.4 5.6 6.4 6.4 38.3
2007 -0.5 1.6 3.6 6.5 7.7 -0.5 -1.2 -4.4 5.1 2.8 -4.4 -1.3 15.0
2008 -2.2 4.4 -5.4 3.7 2.6 -4.0 4.2 -1.3 -9.1 -5.4 1.9 7.8 -2.8
2009 1.5 1.2 2.8 5.6 5.5 -0.1 4.2 2.2 2.8 0.2 3.2 2.9 32.0
2010 -0.8 3.7 1.5 -1.1 0.4 2.6 7.4 4.6 0.8 3.9 -2.8 2.9 23.1
2011 -7.1 3.6 2.5 3.6 2.1 -0.8 -3.1 7.2 -3.8 5.8 2.3 -4.5 7.8
2012 8.9 6.0 0.6 4.6 -3.8 4.2 1.8 3.3 1.9 4.1 -2.5 5.7 34.8
2013 -0.1 -1.5 -3.4 4.5 -9.6 -7.4 -0.7 -5.5 5.3 0.8 -3.5 -0.5 -21.6
2014 -5.5 4.5 2.5 1.9 3.6 2.0 -0.6 5.6 -10.2 0.3 1.3 -4.7 0.7
2015 -0.8 -0.0 -3.0 2.6 0.5 -0.4 -2.0 -6.3 -4.2 2.4 -0.4 -1.5 -13.1
2016 0.9 3.8 8.6 5.1 -2.1 6.8 5.2 1.0 2.5 3.5 -3.3 2.7 34.7
2017 6.8 4.0 1.1 0.9 -3.5 0.7 5.9 3.1 2.4 -1.6 -0.9 3.5 22.4
2018 3.4 0.8 1.4 -0.5 -7.6 -1.8 4.3 -4.8 1.0 12.4 1.7 2.7 13.0
2019 5.9 -1.2 -0.5 0.8 3.4 6.0 3.6 -2.0 2.8 4.4 -1.7 6.4 27.9
2020 0.4 -2.2 -8.3 -1.9 1.4 2.4 3.0 -1.9 -2.4 -1.5 4.4 4.0 -2.6
2021 -2.7 -2.3 0.1 2.8 2.1 0.8 -3.6 -2.8 -4.1 -8.0 1.4 4.6 -11.7
2022 1.1 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.7 2.9 -5.3 0.5 2.6
2023 1.9 -2.3 3.0 1.9 6.5 6.4 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.3
2024 -1.9 -0.4 0.3 -6.1 -0.5 -3.9 1.7 2.0 -1.3 -2.7 -5.2 -4.0 -22.0
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 -0.0 – – – – 19.4
Total: 5.314574956893921
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 -0.0 – – – – 19.4
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 2.8 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.8 3.0 -5.7 0.5 4.1
2023 1.9 -2.3 3.0 1.9 6.5 6.3 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.2
2024 -1.9 -0.4 0.3 -6.1 -1.4 -3.9 1.7 2.0 -1.3 -2.7 -5.1 -5.8 -24.6
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 -0.0 – – – – 19.4
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 0.4 -2.2 -12.2 -1.1 1.4 2.4 3.0 -1.9 -2.4 -1.5 4.4 4.0 -5.7
2021 -2.7 -2.3 0.1 2.8 2.1 0.8 -3.6 -2.8 -4.1 -8.3 1.5 4.6 -11.9
2022 1.1 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.8 3.0 -5.7 0.5 2.4
2023 1.9 -2.3 3.0 1.9 6.5 6.3 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.2
2024 -1.9 -0.4 0.3 -6.1 -1.4 -3.9 1.7 2.0 -1.3 -2.7 -5.1 -5.8 -24.6
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 -0.0 – – – – 19.4
beta_brasil
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 1.6 2.3 -0.7 3.6 3.6 4.0 -0.0 1.1 14.2 -3.1 4.6 4.5 35.7
2006 10.2 6.3 -1.6 2.1 -10.0 5.0 2.9 4.1 2.4 5.6 6.4 6.4 39.8
2007 -0.5 1.6 3.6 6.5 7.7 -0.7 -0.5 -7.4 5.1 2.8 -4.4 -1.2 12.6
2008 -2.2 4.4 -5.3 3.7 2.6 -4.0 4.2 -1.3 -9.5 -5.4 1.9 7.8 -3.1
2009 1.5 1.2 2.8 5.6 5.5 -0.1 4.2 2.2 2.8 0.2 3.2 2.9 32.0
2010 -0.8 3.7 1.5 -1.1 0.7 2.6 7.4 4.6 0.8 3.9 -2.8 2.9 23.4
2011 -7.1 3.5 2.5 3.6 2.1 -0.8 -3.0 7.1 -6.8 7.2 2.3 -4.5 6.1
2012 8.9 5.9 0.6 4.6 -3.9 4.2 1.8 3.3 1.9 4.1 -2.5 5.7 34.6
2013 -0.1 -1.5 -3.3 4.5 -9.6 -13.2 -0.7 -5.6 5.3 0.8 -3.5 -0.5 -27.4
2014 -5.5 4.5 2.4 1.9 3.6 2.0 -0.6 5.6 -9.9 -0.0 1.3 -4.7 0.6
2015 -0.7 -0.0 -3.0 2.6 0.5 -0.4 -2.0 -6.3 -4.2 2.4 -0.4 -1.5 -13.0
2016 0.9 3.8 8.6 5.1 -2.1 6.8 5.2 1.0 2.5 3.5 -3.3 2.7 34.7
2017 6.8 4.0 1.1 1.0 -3.5 0.7 5.9 3.0 2.4 -1.6 -0.9 3.4 22.3
2018 3.4 0.8 1.4 -0.5 -7.6 -3.7 4.5 -6.6 0.7 11.8 1.7 2.7 8.6
2019 5.9 -1.2 -0.5 0.8 3.4 6.0 3.6 -2.0 2.8 4.4 -1.7 6.3 27.8
2020 0.4 -2.2 -12.2 -1.1 1.4 2.4 3.0 -1.9 -2.4 -1.5 4.4 4.0 -5.7
2021 -2.7 -2.3 0.1 2.8 2.1 0.8 -3.6 -2.8 -4.1 -8.3 1.5 4.6 -11.9
2022 1.1 -0.4 4.9 -3.9 0.6 -6.4 2.4 5.5 0.8 3.0 -5.7 0.5 2.4
2023 1.9 -2.3 3.0 1.9 6.5 6.3 1.8 -2.9 -1.8 -2.7 7.6 3.9 23.2
2024 -1.9 -0.4 0.3 -6.1 -1.4 -3.9 1.7 2.0 -1.3 -2.7 -5.1 -5.8 -24.6
2025 6.6 -0.4 4.3 6.1 2.3 3.9 -3.4 -0.0 – – – – 19.4
beta_brasil_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -0.3 -0.3 0.9 5.4 2.4 1.4 -2.1 -0.0 – – – – 7.4
beta_brasil_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 0.7 -2.0 2.2 -1.1 -0.3 1.9 1.2 4.5 -1.0 -1.5 -1.6 1.2 4.2
2023 -1.1 -0.0 2.3 0.7 7.5 5.3 1.1 -1.1 -0.2 -0.4 4.1 4.2 22.4
2024 -2.9 -1.6 -1.0 0.6 -0.2 2.7 -0.3 0.7 -1.7 2.4 1.2 1.2 1.1
2025 -0.3 -0.3 0.9 5.4 2.4 1.4 -2.1 -0.0 – – – – 7.4
beta_brasil_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 3.7 2.6 -2.0 -1.5 1.3 2.8 2.8 -2.0 -1.0 -0.9 1.4 4.1 11.3
2021 -2.2 -0.2 -0.6 0.9 1.2 -0.5 -1.5 -0.2 0.9 0.2 0.3 1.9 0.2
2022 0.4 -2.0 2.2 -1.1 -0.3 1.9 1.2 4.5 -1.0 -1.5 -1.6 1.2 3.9
2023 -1.1 -0.0 2.3 0.7 7.5 5.3 1.1 -1.1 -0.2 -0.4 4.1 4.2 22.4
2024 -2.9 -1.6 -1.0 0.6 -0.2 2.7 -0.3 0.7 -1.7 2.4 1.2 1.2 1.1
2025 -0.3 -0.3 0.9 5.4 2.4 1.4 -2.1 -0.0 – – – – 7.4
beta_brasil_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 0.0 0.8 -0.1 0.5 0.8 1.4 -0.6 -0.5 15.0 -5.7 1.2 7.8 20.6
2006 10.9 5.8 -3.4 -0.6 -2.0 2.3 2.6 2.8 2.1 5.7 8.4 7.9 42.5
2007 -2.1 0.8 2.1 7.5 7.4 -2.0 -1.1 -0.2 2.5 1.8 -1.3 0.3 15.7
2008 0.0 2.4 -1.6 1.6 2.3 -1.5 2.2 2.4 1.2 -0.1 2.0 10.1 21.0
2009 2.5 2.3 3.1 5.8 4.8 -1.2 3.3 2.7 2.3 0.5 3.7 2.5 32.3
2010 1.9 0.6 -0.1 -1.2 2.8 0.7 6.9 5.4 -0.9 3.2 -2.1 0.1 17.3
2011 -1.1 0.2 0.7 0.7 1.6 -1.1 -0.2 14.4 8.3 0.0 6.5 -4.3 25.7
2012 3.3 5.6 3.8 9.2 6.0 1.9 1.2 2.0 1.8 5.2 0.5 3.2 43.7
2013 -2.1 -0.2 -0.4 0.3 1.5 1.1 0.5 0.4 0.7 -0.2 -0.3 0.4 1.7
2014 0.4 0.9 0.6 0.2 4.0 1.0 0.8 4.1 -1.7 -1.2 2.4 -0.8 10.7
2015 1.7 2.1 2.6 -0.5 1.6 -1.9 1.9 0.9 2.3 0.2 -0.4 -0.0 10.5
2016 2.9 1.7 7.7 4.7 -1.6 0.5 6.6 -0.0 0.7 3.4 -2.2 0.9 25.3
2017 6.4 4.2 0.6 0.0 -10.0 0.8 5.1 3.8 3.0 -1.0 -1.0 2.2 14.1
2018 2.6 1.2 1.9 1.4 0.6 1.3 0.4 1.0 0.5 9.7 3.4 2.3 26.3
2019 5.7 -1.5 -0.4 -0.4 3.6 7.1 4.2 0.5 3.4 3.6 0.3 5.1 31.2
2020 3.7 2.6 -2.0 -1.5 1.3 2.8 2.8 -2.0 -1.0 -0.9 1.4 4.1 11.3
2021 -2.2 -0.2 -0.6 0.9 1.2 -0.5 -1.5 -0.2 0.9 0.2 0.3 1.9 0.2
2022 0.4 -2.0 2.2 -1.1 -0.3 1.9 1.2 4.5 -1.0 -1.5 -1.6 1.2 3.9
2023 -1.1 -0.0 2.3 0.7 7.5 5.3 1.1 -1.1 -0.2 -0.4 4.1 4.2 22.4
2024 -2.9 -1.6 -1.0 0.6 -0.2 2.7 -0.3 0.7 -1.7 2.4 1.2 1.2 1.1
2025 -0.3 -0.3 0.9 5.4 2.4 1.4 -2.1 -0.0 – – – – 7.4
beta_brasil_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -5.0 -0.2 -1.2 2.6 1.9 2.0 -0.7 -0.0 – – – – -0.6
beta_brasil_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 1.7 -1.2 2.6 1.7 0.4 8.9 -0.0 1.8 -3.8 -4.8 4.3 1.6 13.2
2023 -2.5 2.5 2.4 -0.0 5.6 5.6 1.2 -0.1 1.7 3.4 -0.1 4.5 24.2
2024 -3.9 -2.6 -2.4 7.5 0.9 6.3 -3.1 -0.9 1.2 4.8 6.9 9.0 23.7
2025 -5.0 -0.2 -1.2 2.6 1.9 2.0 -0.7 -0.0 – – – – -0.6
beta_brasil_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 2.4 4.6 3.8 -3.9 0.8 1.8 2.8 -3.3 0.1 -0.7 0.3 4.2 12.9
2021 -3.0 1.7 -1.9 -0.4 1.6 0.6 0.2 4.1 5.1 11.3 -1.2 -1.5 16.6
2022 2.6 -1.2 2.6 1.7 0.4 8.9 -0.0 1.8 -3.8 -4.8 4.3 1.6 14.1
2023 -2.5 2.5 2.4 -0.0 5.6 5.6 1.2 -0.1 1.7 3.4 -0.1 4.5 24.2
2024 -3.9 -2.6 -2.4 7.5 0.9 6.3 -3.1 -0.9 1.2 4.8 6.9 9.0 23.7
2025 -5.0 -0.2 -1.2 2.6 1.9 2.0 -0.7 -0.0 – – – – -0.6
beta_brasil_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 0.6 0.4 -0.2 1.3 1.5 1.6 -1.4 -1.0 15.3 -6.3 -0.8 6.2 17.2
2006 12.5 6.2 -4.4 -0.5 4.2 0.7 1.7 1.8 0.9 5.2 7.8 8.5 44.6
2007 -2.3 0.1 2.0 7.4 9.3 -2.7 1.1 6.2 1.8 4.2 2.0 3.2 32.3
2008 3.9 1.3 2.9 1.3 2.9 4.7 0.8 4.8 7.7 5.0 0.7 10.1 46.1
2009 4.3 2.4 4.0 6.8 6.7 -1.3 3.3 2.3 4.0 1.5 3.6 1.8 39.4
2010 1.0 -1.0 -0.7 1.2 1.9 -0.7 5.8 5.2 0.4 1.2 -0.2 -0.6 13.5
2011 8.5 -3.2 0.4 0.4 0.9 1.4 5.6 16.7 9.6 -1.7 5.5 -4.3 39.8
2012 2.2 5.7 1.8 8.5 13.4 -0.6 -0.6 1.0 1.6 5.3 -0.1 4.0 42.2
2013 0.1 3.2 1.6 -3.6 7.8 16.4 0.4 3.4 -1.2 -1.6 1.6 1.2 29.3
2014 7.8 -1.0 1.1 -0.2 3.4 1.1 1.6 2.3 4.0 -2.4 1.6 4.5 23.8
2015 3.8 1.4 4.1 -1.5 0.6 -0.9 1.9 9.1 6.8 -0.9 -0.3 2.2 26.3
2016 5.0 -0.9 8.2 4.3 -1.8 -1.6 6.2 -0.3 -1.5 3.7 -2.5 0.8 19.6
2017 5.7 4.1 0.1 -1.4 -15.8 0.5 5.8 3.4 2.8 -1.2 -0.4 -0.4 3.2
2018 3.2 0.5 1.1 -0.2 8.1 5.8 -3.0 6.1 0.4 8.3 2.4 0.9 33.6
2019 7.0 -2.5 -2.4 -1.9 2.7 7.4 4.1 -0.9 2.7 3.3 -0.0 5.4 24.9
2020 2.4 4.6 3.8 -3.9 0.8 1.8 2.8 -3.3 0.1 -0.7 0.3 4.2 12.9
2021 -3.0 1.7 -1.9 -0.4 1.6 0.6 0.2 4.1 5.1 11.3 -1.2 -1.5 16.6
2022 2.6 -1.2 2.6 1.7 0.4 8.9 -0.0 1.8 -3.8 -4.8 4.3 1.6 14.1
2023 -2.5 2.5 2.4 -0.0 5.6 5.6 1.2 -0.1 1.7 3.4 -0.1 4.5 24.2
2024 -3.9 -2.6 -2.4 7.5 0.9 6.3 -3.1 -0.9 1.2 4.8 6.9 9.0 23.7
2025 -5.0 -0.2 -1.2 2.6 1.9 2.0 -0.7 -0.0 – – – – -0.6
beta_brasil_timing_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -0.0 -0.1 0.5 4.0 2.3 0.7 -1.6 -0.0 – – – – 5.8
beta_brasil_timing_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 1.0 -1.1 2.5 -0.5 0.8 2.0 1.2 1.9 -2.8 -2.1 -0.6 1.2 3.5
2023 -0.5 0.7 2.1 0.9 6.2 5.5 0.6 -0.7 0.9 0.5 3.4 4.4 24.0
2024 -3.0 -1.3 -0.9 0.8 0.3 2.8 -0.7 0.1 -0.5 2.4 2.0 1.6 3.6
2025 -0.0 -0.1 0.5 4.0 2.3 0.7 -1.6 -0.0 – – – – 5.8
beta_brasil_timing_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 3.0 3.2 -1.4 -1.5 0.8 2.1 3.0 -2.2 -0.1 -1.0 2.1 3.8 11.8
2021 -1.9 -0.5 -0.5 0.3 0.9 0.3 -1.0 0.2 0.9 1.1 0.3 0.3 0.4
2022 0.9 -1.1 2.5 -0.5 0.8 2.0 1.2 1.9 -2.8 -2.1 -0.6 1.2 3.4
2023 -0.5 0.7 2.1 0.9 6.2 5.5 0.6 -0.7 0.9 0.5 3.4 4.4 24.0
2024 -3.0 -1.3 -0.9 0.8 0.3 2.8 -0.7 0.1 -0.5 2.4 2.0 1.6 3.6
2025 -0.0 -0.1 0.5 4.0 2.3 0.7 -1.6 -0.0 – – – – 5.8
beta_brasil_timing_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 1.1 1.1 0.6 1.4 1.5 2.2 -0.0 0.2 15.3 -4.3 -0.2 6.5 25.4
2006 11.1 6.2 -2.8 -1.8 0.0 1.6 2.7 2.6 1.8 5.2 8.1 7.9 42.6
2007 -1.9 0.8 2.0 6.8 7.3 -1.7 0.6 0.9 1.9 1.3 -0.3 0.6 18.3
2008 0.4 1.2 -1.1 0.7 3.2 -0.4 1.1 1.4 3.0 2.0 1.7 9.8 23.0
2009 2.2 1.7 3.0 6.4 4.5 -1.1 2.5 2.5 2.6 1.6 3.5 2.6 32.0
2010 1.8 0.2 -0.5 0.6 1.8 0.8 5.7 5.6 -0.4 2.2 -0.6 0.9 18.1
2011 -0.4 0.8 1.1 0.7 1.4 -0.1 0.7 13.2 6.9 -1.2 6.3 -3.8 25.6
2012 2.6 4.9 2.1 8.9 5.8 1.2 0.7 1.3 1.8 5.1 -0.3 3.6 37.7
2013 -1.6 0.3 0.8 0.6 1.9 -1.0 0.8 0.2 0.9 0.1 -0.0 1.0 4.0
2014 0.7 0.2 0.7 0.1 3.2 1.0 1.4 3.5 1.6 -0.7 1.9 0.3 13.9
2015 0.6 2.1 3.2 -0.5 1.0 -0.1 1.1 1.3 1.8 0.3 0.3 0.2 11.3
2016 1.7 1.5 7.3 3.6 -1.6 0.5 6.2 0.2 -0.1 3.4 -1.2 1.4 22.9
2017 6.0 3.9 0.6 -0.7 -9.9 0.9 4.5 3.7 2.8 -1.2 0.1 1.8 12.5
2018 2.4 1.2 1.8 0.8 2.5 1.3 -1.3 2.0 0.1 8.9 2.4 1.1 23.2
2019 6.1 -2.1 -0.2 -1.1 3.3 7.3 4.3 -0.2 2.7 3.7 0.2 5.2 29.2
2020 3.0 3.2 -1.4 -1.5 0.8 2.1 3.0 -2.2 -0.1 -1.0 2.1 3.8 11.8
2021 -1.9 -0.5 -0.5 0.3 0.9 0.3 -1.0 0.2 0.9 1.1 0.3 0.3 0.4
2022 0.9 -1.1 2.5 -0.5 0.8 2.0 1.2 1.9 -2.8 -2.1 -0.6 1.2 3.4
2023 -0.5 0.7 2.1 0.9 6.2 5.5 0.6 -0.7 0.9 0.5 3.4 4.4 24.0
2024 -3.0 -1.3 -0.9 0.8 0.3 2.8 -0.7 0.1 -0.5 2.4 2.0 1.6 3.6
2025 -0.0 -0.1 0.5 4.0 2.3 0.7 -1.6 -0.0 – – – – 5.8
beta_brasil_timing_so
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -4.0 1.0 -0.8 -0.3 0.8 2.4 2.2 -0.0 – – – – 1.3
beta_brasil_timing_so
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 1.4 0.7 1.0 3.1 0.7 7.9 -0.2 1.0 0.1 -1.7 6.1 1.5 21.6
2023 -0.9 2.7 1.5 -0.1 0.6 1.2 1.7 1.7 1.7 3.9 -2.6 1.0 12.4
2024 0.1 -0.6 -0.7 7.6 1.4 4.2 -1.6 -0.1 2.6 3.3 5.7 8.4 30.3
2025 -4.0 1.0 -0.8 -0.3 0.8 2.4 2.2 -0.0 – – – – 1.3
beta_brasil_timing_so
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 -0.3 1.7 5.6 -2.1 0.2 -0.1 -0.1 -1.0 0.4 0.5 -1.6 0.5 3.7
2021 -1.0 2.3 -1.2 -0.5 0.9 0.5 1.5 4.4 4.6 10.7 -0.9 -1.0 20.3
2022 2.4 0.7 1.0 3.1 0.7 7.9 -0.2 1.0 0.1 -1.7 6.1 1.5 22.6
2023 -0.9 2.7 1.5 -0.1 0.6 1.2 1.7 1.7 1.7 3.9 -2.6 1.0 12.4
2024 0.1 -0.6 -0.7 7.6 1.4 4.2 -1.6 -0.1 2.6 3.3 5.7 8.4 30.3
2025 -4.0 1.0 -0.8 -0.3 0.8 2.4 2.2 -0.0 – – – – 1.3
beta_brasil_timing_so
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2005 0.9 0.4 0.7 1.3 1.5 0.9 0.1 0.5 1.5 -0.8 0.8 1.2 9.0
2006 2.7 1.1 -0.2 2.4 5.6 0.3 0.2 0.5 0.1 1.1 0.7 1.6 16.1
2007 0.7 0.2 1.0 1.5 2.9 -0.1 1.4 6.4 0.7 3.7 3.1 3.4 24.9
2008 4.5 0.8 4.9 1.5 0.5 6.1 0.8 4.4 5.8 4.3 0.1 1.4 35.1
2009 3.0 1.5 2.0 1.2 2.9 0.5 1.6 0.5 2.0 0.6 0.8 -0.1 16.5
2010 -0.1 -0.6 0.5 1.3 0.9 -0.7 0.9 0.5 1.6 -0.1 1.3 -0.5 5.0
2011 9.9 -3.2 0.3 0.5 0.5 2.4 5.8 4.3 3.6 0.4 0.1 0.4 25.0
2012 0.5 1.5 0.4 0.3 7.9 -1.2 -0.6 0.4 0.3 0.8 0.8 0.9 12.0
2013 2.3 3.4 1.4 -3.5 6.5 18.3 0.3 3.9 -1.4 -0.9 2.4 1.0 33.7
2014 8.0 -0.4 1.2 0.5 1.0 0.9 1.2 -0.3 3.3 -0.8 0.6 5.3 20.5
2015 4.2 0.1 1.9 -0.1 0.6 0.3 2.0 8.8 6.2 -0.1 0.4 3.2 27.5
2016 4.4 -1.4 2.0 1.7 0.9 -0.9 1.1 0.8 -0.3 1.3 -0.3 0.5 9.8
2017 0.8 1.1 0.6 0.0 -5.3 0.4 2.0 0.5 0.6 0.6 0.0 -1.7 -0.4
2018 1.4 -0.3 -0.2 -0.4 6.0 5.1 -1.2 4.7 0.8 0.0 0.5 0.3 16.7
2019 1.4 0.1 -1.7 -0.2 -0.1 0.6 0.4 -0.2 0.4 0.1 0.1 0.5 1.4
2020 -0.3 1.7 5.6 -2.1 0.2 -0.1 -0.1 -1.0 0.4 0.5 -1.6 0.5 3.7
2021 -1.0 2.3 -1.2 -0.5 0.9 0.5 1.5 4.4 4.6 10.7 -0.9 -1.0 20.3
2022 2.4 0.7 1.0 3.1 0.7 7.9 -0.2 1.0 0.1 -1.7 6.1 1.5 22.6
2023 -0.9 2.7 1.5 -0.1 0.6 1.2 1.7 1.7 1.7 3.9 -2.6 1.0 12.4
2024 0.1 -0.6 -0.7 7.6 1.4 4.2 -1.6 -0.1 2.6 3.3 5.7 8.4 30.3
2025 -4.0 1.0 -0.8 -0.3 0.8 2.4 2.2 -0.0 – – – – 1.3
portfolio_name:
- alfa

risk_target:
- ls: 0.75
- beta_brasil: 0.25

allocation method:
- vol

running allocation...

clusters_weights_resampled
ls beta_brasil_timing
2006-12-28 1.067199 0.233592
2007-01-25 1.128210 0.239233
2007-02-22 1.135045 0.243439
2007-03-29 1.127801 0.247741
2007-04-26 1.137801 0.253548
... ... ...
2025-03-27 1.032208 0.256183
2025-04-24 1.039285 0.260786
2025-05-29 1.044750 0.271260
2025-06-26 1.067121 0.278874
2025-07-31 1.071003 0.280228

224 rows × 2 columns

clusters_weights
ls beta_brasil_timing cdi
date
2006-12-28 1.067199 0.233592 -0.300791
2006-12-29 1.067089 0.233671 -0.300760
2007-01-01 1.067089 0.233671 -0.300760
2007-01-02 1.068669 0.228361 -0.297030
2007-01-03 1.069612 0.228170 -0.297783
... ... ... ...
2025-07-28 1.062775 0.280285 -0.343060
2025-07-29 1.062531 0.278620 -0.341151
2025-07-30 1.065074 0.273680 -0.338754
2025-07-31 1.071003 0.280228 -0.351232
2025-08-01 1.071010 0.280255 -0.351265

4852 rows × 3 columns

clusters_weights (pack_only)
usdbrlfut smal11_excdi ls new dif3yfut cdi
date
2006-12-28 -0.057637 0.158242 1.067199 0.379073 -0.067199
2006-12-29 -0.080186 0.158240 1.067089 0.379069 -0.067089
2007-01-01 -0.080262 0.158240 1.067089 0.379072 -0.067089
2007-01-02 -0.079267 0.129677 1.068669 0.376127 -0.068669
2007-01-03 -0.049468 0.050221 1.069612 0.376774 -0.069612
... ... ... ... ... ...
2025-07-28 -0.034810 -0.106657 1.062775 0.018115 -0.062775
2025-07-29 -0.008635 -0.106508 1.062531 0.352412 -0.062531
2025-07-30 -0.014369 -0.104526 1.065074 0.331974 -0.065074
2025-07-31 0.039573 -0.100851 1.071003 -0.231150 -0.071003
2025-08-01 0.039636 -0.100814 1.071010 -0.232239 -0.071010

4852 rows × 5 columns

securities_weights
vveo3 vale3 isae4 brsr6 hapv3 tend3 brml3 raiz4 rlog3 ctip3 ... sbfg3 bnca3 lupa3 krot11 sapr4 rdcd3 tims3 aalr3 caml3 cdi
date
2006-12-28 0.0 0.000000 0.008341 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 ... 0.000000 -0.007311 0.0 0.0 0.0 0.0 0.000000 0.0 0.000000 0.452214
2006-12-29 0.0 0.000000 0.008341 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 ... 0.000000 -0.007310 0.0 0.0 0.0 0.0 0.000000 0.0 0.000000 0.452270
2007-01-01 0.0 0.000000 0.008341 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 ... 0.000000 -0.007310 0.0 0.0 0.0 0.0 0.000000 0.0 0.000000 0.452270
2007-01-02 0.0 0.000000 0.020649 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 ... 0.000000 -0.001519 0.0 0.0 0.0 0.0 0.000000 0.0 0.000000 0.623552
2007-01-03 0.0 0.000000 0.020596 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 ... 0.000000 -0.001526 0.0 0.0 0.0 0.0 0.000000 0.0 0.000000 0.624650
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
2025-07-28 0.0 -0.008946 -0.022217 0.021972 -0.010004 0.000649 0.0 -0.024807 0.0 0.0 ... 0.016567 0.000000 0.0 0.0 0.0 0.0 0.015295 0.0 0.007599 1.107371
2025-07-29 0.0 -0.008841 -0.022151 0.021687 -0.010093 0.000672 0.0 -0.024324 0.0 0.0 ... 0.015741 0.000000 0.0 0.0 0.0 0.0 0.015208 0.0 0.007624 1.101637
2025-07-30 0.0 -0.008621 -0.022241 0.021812 -0.010340 0.000676 0.0 -0.024321 0.0 0.0 ... 0.015450 0.000000 0.0 0.0 0.0 0.0 0.015260 0.0 0.007807 1.091445
2025-07-31 0.0 -0.008619 -0.021569 0.022024 -0.010281 0.000674 0.0 -0.024318 0.0 0.0 ... 0.015185 0.000000 0.0 0.0 0.0 0.0 0.015904 0.0 0.007759 1.088423
2025-08-01 0.0 -0.003826 -0.010214 0.023437 -0.012408 -0.004958 0.0 -0.030448 0.0 0.0 ... 0.016246 0.000000 0.0 0.0 0.0 0.0 0.021365 0.0 0.010108 1.185369

4852 rows × 369 columns

cota_gross
date
2006-12-28      1.000000
2006-12-29      0.999955
2007-01-01      0.999955
2007-01-02      1.012364
2007-01-03      1.009658
                 ...    
2025-07-28    610.251928
2025-07-29    613.551573
2025-07-30    617.778351
2025-07-31    620.425070
2025-08-01    620.365795
Length: 4852, dtype: float64
cota_net
date
2006-12-28      1.000000
2006-12-29      0.999955
2007-01-01      0.999955
2007-01-02      1.012363
2007-01-03      1.009657
                 ...    
2025-07-28    609.467163
2025-07-29    612.762720
2025-07-30    616.983443
2025-07-31    619.626965
2025-08-01    619.567768
Length: 4852, dtype: float64
running sizing...

clusters_weights_resampled_sized
ls beta_brasil_timing cdi
2006-12-28 NaN NaN NaN
2007-01-25 0.112821 0.023923 -0.036744
2007-01-26 1.128523 0.234420 -0.362943
2007-02-22 1.135045 0.243439 -0.378484
2007-03-29 1.127801 0.247741 -0.375542
... ... ... ...
2025-03-27 1.032208 0.256183 -0.288391
2025-04-24 1.039285 0.260786 -0.300071
2025-05-29 1.044750 0.271260 -0.316010
2025-06-26 1.067121 0.278874 -0.345994
2025-07-31 1.071003 0.280228 -0.351232

291 rows × 3 columns

clusters_weights_sized
ls beta_brasil_timing cdi
date
2006-12-28 NaN NaN 1.000000
2006-12-29 NaN NaN 1.000000
2007-01-01 NaN NaN 1.000000
2007-01-02 NaN NaN 1.000000
2007-01-03 NaN NaN 1.000000
... ... ... ...
2025-07-28 1.067242 0.281463 -0.348705
2025-07-29 1.067176 0.279838 -0.347014
2025-07-30 1.069900 0.274920 -0.344820
2025-07-31 1.071003 0.280228 -0.351232
2025-08-01 1.071010 0.280255 -0.351265

4852 rows × 3 columns

clusters_weights_sized (pack_only)
usdbrlfut smal11_excdi ls new dif3yfut cdi
date
2006-12-28 0.000000 0.000000 0.000000 0.000000 1.000000
2006-12-29 0.000000 0.000000 0.000000 0.000000 1.000000
2007-01-01 0.000000 0.000000 0.000000 0.000000 1.000000
2007-01-02 0.000000 0.000000 0.000000 0.000000 1.000000
2007-01-03 0.000000 0.000000 0.000000 0.000000 1.000000
... ... ... ... ... ...
2025-07-28 -0.034956 -0.107105 1.067242 0.018191 -0.067242
2025-07-29 -0.008673 -0.106974 1.067176 0.353953 -0.067176
2025-07-30 -0.014434 -0.105000 1.069900 0.333478 -0.069900
2025-07-31 0.039573 -0.100851 1.071003 -0.231150 -0.071003
2025-08-01 0.039636 -0.100814 1.071010 -0.232239 -0.071010

4852 rows × 5 columns

securities_weights
vveo3 vale3 isae4 brsr6 hapv3 tend3 brml3 raiz4 rlog3 ctip3 ... sbfg3 bnca3 lupa3 krot11 sapr4 rdcd3 tims3 aalr3 caml3 cdi
date
2006-12-28 0.0 0.000000 0.000000 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.000000 0.0 0.000000 1.000000
2006-12-29 0.0 0.000000 0.000000 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.000000 0.0 0.000000 1.000000
2007-01-01 0.0 0.000000 0.000000 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.000000 0.0 0.000000 1.000000
2007-01-02 0.0 0.000000 0.000000 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.000000 0.0 0.000000 1.000000
2007-01-03 0.0 0.000000 0.000000 0.000000 0.000000 0.000000 0.0 0.000000 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.000000 0.0 0.000000 1.000000
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
2025-07-28 0.0 -0.008984 -0.022311 0.022064 -0.010046 0.000652 0.0 -0.024911 0.0 0.0 ... 0.016637 0.0 0.0 0.0 0.0 0.0 0.015359 0.0 0.007631 1.107822
2025-07-29 0.0 -0.008879 -0.022248 0.021782 -0.010138 0.000675 0.0 -0.024430 0.0 0.0 ... 0.015810 0.0 0.0 0.0 0.0 0.0 0.015275 0.0 0.007657 1.102081
2025-07-30 0.0 -0.008660 -0.022342 0.021911 -0.010386 0.000679 0.0 -0.024431 0.0 0.0 ... 0.015520 0.0 0.0 0.0 0.0 0.0 0.015330 0.0 0.007843 1.091859
2025-07-31 0.0 -0.008619 -0.021569 0.022024 -0.010281 0.000674 0.0 -0.024318 0.0 0.0 ... 0.015185 0.0 0.0 0.0 0.0 0.0 0.015904 0.0 0.007759 1.088423
2025-08-01 0.0 -0.003826 -0.010214 0.023437 -0.012408 -0.004958 0.0 -0.030448 0.0 0.0 ... 0.016246 0.0 0.0 0.0 0.0 0.0 0.021365 0.0 0.010108 1.185369

4852 rows × 369 columns

cota_gross_sized
date
2006-12-28      1.000000
2006-12-29      1.000491
2007-01-01      1.000491
2007-01-02      1.000983
2007-01-03      1.001474
                 ...    
2025-07-28    504.444609
2025-07-29    507.182445
2025-07-30    510.690494
2025-07-31    512.887059
2025-08-01    512.838059
Length: 4852, dtype: float64
cota_net_sized
date
2006-12-28      1.000000
2006-12-29      1.000491
2007-01-01      1.000491
2007-01-02      1.000983
2007-01-03      1.001474
                 ...    
2025-07-28    503.104656
2025-07-29    505.835350
2025-07-30    509.333571
2025-07-31    511.524440
2025-08-01    511.475570
Length: 4852, dtype: float64
portfolio_name:
- beta_global

risk_target:
- equity_av: 1
- ust10yfut_av: 1
- xaufut_av: 1
- btcfut_av: 1

allocation method:
- vol

running allocation...

clusters_weights_resampled
equity_av ust10yfut_av xaufut_av btcfut_av
2014-12-25 0.506694 0.629430 0.639895 0.833328
2015-01-29 0.527125 0.627605 0.618857 0.743848
2015-02-26 0.525528 0.600916 0.596878 0.844805
2015-03-26 0.508952 0.584721 0.593216 0.830438
2015-04-30 0.500104 0.566053 0.563572 0.866679
... ... ... ... ...
2025-03-27 0.431603 0.518505 0.439478 0.470872
2025-04-24 0.412581 0.514205 0.426734 0.466285
2025-05-29 0.431320 0.532561 0.451053 0.498545
2025-06-26 0.442275 0.558365 0.471206 0.512534
2025-07-31 0.453482 0.569485 0.477273 0.532357

128 rows × 4 columns

clusters_weights
equity_av ust10yfut_av xaufut_av btcfut_av cdi
date
2014-12-25 0.506694 0.629430 0.639895 0.833328 -1.609348
2014-12-26 0.501810 0.622729 0.639342 0.827191 -1.591072
2014-12-29 0.503854 0.625184 0.635641 0.821225 -1.585904
2014-12-30 0.499630 0.623559 0.637047 0.815446 -1.575682
2014-12-31 0.500371 0.626420 0.634307 0.821131 -1.582229
... ... ... ... ... ...
2025-07-28 0.429980 0.546317 0.471602 0.522327 -0.970225
2025-07-29 0.427854 0.545696 0.468648 0.517438 -0.959636
2025-07-30 0.432866 0.545409 0.465307 0.520435 -0.964017
2025-07-31 0.453482 0.569485 0.477273 0.532357 -1.032597
2025-08-01 0.453483 0.569485 0.477272 0.532356 -1.032595

2767 rows × 5 columns

clusters_weights (pack_only)
btcusd_brl_hedged xauusd_brl_hedged spx_brl_hedged ust10y lo_timing new cdi
date
2014-12-25 0.086344 0.293561 0.134283 1.433161 0.163188 -1.110538
2014-12-26 0.085707 0.293588 0.134617 1.418122 0.170841 -1.102876
2014-12-29 0.085082 0.308750 0.138568 1.451515 0.172205 -1.156119
2014-12-30 0.084992 0.405383 0.137058 1.410380 0.171433 -1.209246
2014-12-31 0.085642 0.397900 0.136524 1.482374 0.171910 -1.274350
... ... ... ... ... ... ...
2025-07-28 0.125585 0.356152 0.243931 0.951428 0.171541 -0.848638
2025-07-29 0.124501 0.353822 0.241622 0.950381 0.170303 -0.840629
2025-07-30 0.125224 0.351347 0.243475 0.952173 0.173121 -0.845340
2025-07-31 0.128101 0.359727 0.256524 0.993892 0.213387 -0.951631
2025-08-01 0.128167 0.360195 0.256521 0.994936 0.229254 -0.969072

2767 rows × 6 columns

securities_weights
vveo3 vale3 isae4 brsr6 hapv3 tend3 brml3 raiz4 rlog3 ctip3 ... sbfg3 bnca3 lupa3 krot11 sapr4 rdcd3 tims3 aalr3 caml3 cdi
date
2014-12-25 0.0 0.0 0.013642 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -1.110538
2014-12-26 0.0 0.0 0.014580 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -1.102876
2014-12-29 0.0 0.0 0.014385 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -1.156119
2014-12-30 0.0 0.0 0.014567 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -1.209246
2014-12-31 0.0 0.0 0.014608 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -1.274350
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
2025-07-28 0.0 0.0 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.005536 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.848638
2025-07-29 0.0 0.0 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.005189 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.840629
2025-07-30 0.0 0.0 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.005153 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.845340
2025-07-31 0.0 0.0 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.006221 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.951631
2025-08-01 0.0 0.0 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.969072

2767 rows × 370 columns

cota_gross
date
2014-12-25    1.000000
2014-12-26    1.010787
2014-12-29    1.013382
2014-12-30    1.019257
2014-12-31    1.014341
                ...   
2025-07-28    9.865529
2025-07-29    9.969117
2025-07-30    9.918535
2025-07-31    9.899338
2025-08-01    9.899351
Length: 2767, dtype: float64
cota_net
date
2014-12-25    1.000000
2014-12-26    1.010786
2014-12-29    1.013382
2014-12-30    1.019256
2014-12-31    1.014339
                ...   
2025-07-28    9.842971
2025-07-29    9.946311
2025-07-30    9.895833
2025-07-31    9.876629
2025-08-01    9.876642
Length: 2767, dtype: float64
running sizing...

clusters_weights_resampled_sized
equity_av ust10yfut_av xaufut_av btcfut_av cdi
2014-12-25 NaN NaN NaN NaN NaN
2015-01-22 0.047421 0.062130 0.063804 0.075734 -0.149089
2015-01-23 0.470247 0.626793 0.632546 0.756620 -1.486206
2015-01-29 0.527125 0.627605 0.618857 0.743848 -1.517435
2015-02-26 0.525528 0.600916 0.596878 0.844805 -1.568127
... ... ... ... ... ...
2025-03-27 0.431603 0.518505 0.439478 0.470872 -0.860459
2025-04-24 0.412581 0.514205 0.426734 0.466285 -0.819805
2025-05-29 0.431320 0.532561 0.451053 0.498545 -0.913478
2025-06-26 0.442275 0.558365 0.471206 0.512534 -0.984380
2025-07-31 0.453482 0.569485 0.477273 0.532357 -1.032597

141 rows × 5 columns

clusters_weights_sized
equity_av ust10yfut_av xaufut_av btcfut_av cdi
date
2014-12-25 NaN NaN NaN NaN 1.000000
2014-12-26 NaN NaN NaN NaN 1.000000
2014-12-29 NaN NaN NaN NaN 1.000000
2014-12-30 NaN NaN NaN NaN 1.000000
2014-12-31 NaN NaN NaN NaN 1.000000
... ... ... ... ... ...
2025-07-28 0.435130 0.552860 0.477251 0.528583 -0.993824
2025-07-29 0.433157 0.552459 0.474456 0.523851 -0.983924
2025-07-30 0.438494 0.552501 0.471358 0.527202 -0.989556
2025-07-31 0.453482 0.569485 0.477273 0.532357 -1.032597
2025-08-01 0.453483 0.569485 0.477272 0.532356 -1.032595

2767 rows × 5 columns

clusters_weights_sized (pack_only)
btcusd_brl_hedged xauusd_brl_hedged spx_brl_hedged ust10y lo_timing new cdi
date
2014-12-25 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2014-12-26 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2014-12-29 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2014-12-30 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2014-12-31 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
... ... ... ... ... ... ...
2025-07-28 0.127089 0.360418 0.246853 0.962824 0.173595 -0.870780
2025-07-29 0.126044 0.358208 0.244617 0.962160 0.172414 -0.863442
2025-07-30 0.126853 0.355916 0.246641 0.964554 0.175372 -0.869336
2025-07-31 0.128101 0.359727 0.256524 0.993892 0.213387 -0.951631
2025-08-01 0.128167 0.360195 0.256521 0.994936 0.229254 -0.969072

2767 rows × 6 columns

securities_weights
vveo3 vale3 isae4 brsr6 hapv3 tend3 brml3 raiz4 rlog3 ctip3 ... sbfg3 bnca3 lupa3 krot11 sapr4 rdcd3 tims3 aalr3 caml3 cdi
date
2014-12-25 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.000000
2014-12-26 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.000000
2014-12-29 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.000000
2014-12-30 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.000000
2014-12-31 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.000000
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
2025-07-28 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.005602 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.870780
2025-07-29 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.005253 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.863442
2025-07-30 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.005220 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.869336
2025-07-31 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.006221 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.951631
2025-08-01 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 ... 0.000000 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.969072

2767 rows × 370 columns

cota_gross_sized
date
2014-12-25    1.000000
2014-12-26    1.000435
2014-12-29    1.000869
2014-12-30    1.001305
2014-12-31    1.001740
                ...   
2025-07-28    9.131487
2025-07-29    9.228456
2025-07-30    9.180988
2025-07-31    9.162922
2025-08-01    9.162934
Length: 2767, dtype: float64
cota_net_sized
date
2014-12-25    1.000000
2014-12-26    1.000435
2014-12-29    1.000869
2014-12-30    1.001305
2014-12-31    1.001740
                ...   
2025-07-28    9.102280
2025-07-29    9.198929
2025-07-30    9.151603
2025-07-31    9.133571
2025-08-01    9.133583
Length: 2767, dtype: float64
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 5.4 0.1 2.7 4.0 3.3 3.7 -0.4 0.0 – – – – 18.8
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -3.1 1.2 1.9 -4.9 -1.6 -8.0 5.3 -2.9 -4.5 1.7 3.0 0.2 -11.7
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.6 6.2 27.3
2024 -0.4 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.3
2025 5.5 0.1 2.7 4.0 3.3 3.7 -0.4 0.0 – – – – 18.9
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 8.2 0.3 -1.5 4.1 2.6 3.1 8.2 0.6 -3.6 0.4 5.1 7.9 35.4
2021 -0.7 -2.2 1.1 4.0 0.3 -0.2 4.7 0.9 -3.4 3.0 -0.2 2.1 9.4
2022 -4.5 1.2 1.9 -4.9 -1.6 -8.0 5.3 -2.9 -4.5 1.7 3.0 0.2 -13.1
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.6 6.2 27.3
2024 -0.4 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.3
2025 5.5 0.1 2.7 4.0 3.3 3.7 -0.4 0.0 – – – – 18.9
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2015 6.0 -0.7 1.6 0.4 1.3 -0.0 0.9 -3.0 1.8 5.5 -0.5 0.9 14.2
2016 2.8 8.9 2.5 3.9 -0.4 11.7 4.4 -2.6 1.9 0.5 -6.8 5.2 32.0
2017 5.4 8.7 -1.6 5.7 10.1 0.6 4.9 7.3 -0.9 2.8 3.1 6.4 52.5
2018 0.2 -3.6 -2.2 0.3 -1.7 -3.1 2.0 0.8 -2.5 -0.9 -0.1 5.8 -5.0
2019 6.2 0.9 3.6 3.9 8.2 12.8 0.0 7.1 -3.7 2.5 -1.0 4.6 45.1
2020 8.2 0.3 -1.5 4.1 2.6 3.1 8.2 0.6 -3.6 0.4 5.1 7.9 35.4
2021 -0.7 -2.2 1.1 4.0 0.3 -0.2 4.7 0.9 -3.4 3.0 -0.2 2.1 9.4
2022 -4.5 1.2 1.9 -4.9 -1.6 -8.0 5.3 -2.9 -4.5 1.7 3.0 0.2 -13.1
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.6 6.2 27.3
2024 -0.4 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.3
2025 5.5 0.1 2.7 4.0 3.3 3.7 -0.4 0.0 – – – – 18.9
beta_global_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 5.4 0.1 2.7 4.0 3.3 3.7 -0.4 0.0 – – – – 18.8
beta_global_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -3.2 1.2 1.9 -4.9 -1.6 -8.6 4.9 -2.9 -4.6 1.8 3.0 0.2 -12.8
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.7 6.2 27.4
2024 -0.5 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.2
2025 5.6 0.1 2.7 4.0 3.3 3.7 -0.4 0.0 – – – – 19.0
beta_global_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 8.2 0.3 -1.3 4.1 2.6 3.1 8.2 0.4 -3.6 0.4 5.1 7.9 35.4
2021 -0.7 -2.2 1.1 4.0 0.3 -0.2 4.7 0.9 -3.4 3.0 -0.2 2.2 9.5
2022 -4.6 1.2 1.9 -4.9 -1.6 -8.6 4.9 -2.9 -4.6 1.8 3.0 0.2 -14.2
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.7 6.2 27.4
2024 -0.5 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.2
2025 5.6 0.1 2.7 4.0 3.3 3.7 -0.4 0.0 – – – – 19.0
beta_global_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2015 1.3 -0.7 1.6 0.4 1.3 -0.0 0.9 -3.0 1.8 5.6 -0.5 0.9 9.6
2016 2.8 9.0 2.5 3.9 -0.5 10.2 4.4 -2.6 1.9 0.5 -6.8 5.3 30.6
2017 5.4 8.7 -1.6 5.7 10.1 0.6 4.9 7.3 -0.9 2.8 3.1 6.4 52.5
2018 0.2 -3.6 -2.2 0.3 -1.7 -3.1 2.0 0.8 -2.5 -0.9 -0.1 5.8 -5.0
2019 6.2 0.9 3.6 3.9 8.2 12.8 0.0 7.1 -3.7 2.5 -1.0 4.7 45.2
2020 8.3 0.3 -1.3 4.1 2.6 3.1 8.2 0.4 -3.6 0.4 5.1 7.9 35.5
2021 -0.7 -2.2 1.1 4.0 0.3 -0.2 4.7 0.9 -3.4 3.0 -0.2 2.2 9.5
2022 -4.6 1.2 1.9 -4.9 -1.6 -8.6 4.9 -2.9 -4.6 1.8 3.0 0.2 -14.2
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.7 6.2 27.4
2024 -0.5 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.2
2025 5.6 0.1 2.7 4.0 3.3 3.7 -0.4 0.0 – – – – 19.0
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.2 -0.0 – – – – 8.7
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 0.2 2.8 3.3 4.1 4.5 1.5 0.1 0.3 -2.2 1.7 5.6 1.9 23.8
2023 1.6 3.0 -2.5 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.3
2024 2.9 -2.5 0.1 3.9 -0.7 6.6 0.3 10.5 2.4 2.6 6.3 3.0 35.4
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.2 -0.0 – – – – 8.7
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 5.9 6.4 6.4 -1.2 0.5 0.0 2.0 -3.8 -1.5 -0.0 0.4 4.8 19.9
2021 -0.9 4.4 1.2 6.3 0.4 -1.7 3.1 7.6 6.5 7.7 -1.2 4.7 38.1
2022 0.2 2.8 3.3 4.1 4.5 1.5 0.1 0.3 -2.2 1.7 5.6 1.9 23.8
2023 1.6 3.0 -2.5 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.3
2024 2.9 -2.5 0.1 3.9 -0.7 6.6 0.3 10.5 2.4 2.6 6.3 3.0 35.4
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.2 -0.0 – – – – 8.7
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2015 10.1 5.8 3.2 -3.0 0.7 3.6 5.3 6.4 2.4 -4.3 0.1 3.6 33.9
2016 4.6 -0.6 -1.5 2.9 -0.6 -1.3 3.4 2.8 -2.0 5.2 0.5 3.3 16.7
2017 5.1 9.1 -2.0 2.2 -2.1 -0.4 2.4 -1.0 2.8 3.2 2.9 2.3 24.5
2018 -0.9 10.1 3.5 0.7 8.6 7.6 0.3 6.7 -0.1 -3.8 1.4 3.7 37.8
2019 3.1 3.0 0.1 1.5 8.9 0.0 2.2 1.7 -3.3 5.7 7.4 6.4 36.7
2020 5.9 6.4 6.4 -1.2 0.5 0.0 2.0 -3.8 -1.5 -0.0 0.4 4.8 19.9
2021 -0.9 4.4 1.2 6.3 0.4 -1.7 3.1 7.6 6.5 7.7 -1.2 4.7 38.1
2022 0.2 2.8 3.3 4.1 4.5 1.5 0.1 0.3 -2.2 1.7 5.6 1.9 23.8
2023 1.6 3.0 -2.5 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.3
2024 2.9 -2.5 0.1 3.9 -0.7 6.6 0.3 10.5 2.4 2.6 6.3 3.0 35.4
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.2 -0.0 – – – – 8.7
alfa_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.2 -0.0 – – – – 8.7
alfa_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 0.2 2.7 3.3 4.1 4.5 1.5 -0.3 0.3 -2.3 1.7 5.6 1.9 23.2
2023 1.6 3.1 -2.1 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.8
2024 2.9 -2.6 0.1 2.0 -1.6 6.6 0.3 6.3 2.4 2.6 6.4 2.9 28.3
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.2 -0.0 – – – – 8.7
alfa_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 5.9 6.4 8.5 -0.7 0.5 0.0 2.0 -3.8 -1.5 -0.0 0.4 4.8 22.5
2021 -0.9 4.4 1.2 6.3 0.4 -1.7 3.1 7.6 6.5 5.7 -0.8 4.7 36.5
2022 0.2 2.7 3.3 4.1 4.5 1.5 -0.3 0.3 -2.3 1.7 5.6 1.9 23.2
2023 1.6 3.1 -2.1 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.8
2024 2.9 -2.6 0.1 2.0 -1.6 6.6 0.3 6.3 2.4 2.6 6.4 2.9 28.3
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.2 -0.0 – – – – 8.7
alfa_sized
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2015 10.1 5.9 3.2 -3.0 0.7 3.6 5.3 6.4 2.4 -4.4 0.1 3.6 33.9
2016 4.6 -0.6 -1.5 2.9 -0.6 -1.3 3.4 2.8 -2.0 5.2 0.5 3.3 16.7
2017 5.1 9.1 -2.0 2.2 -2.1 -0.4 2.4 -1.0 2.8 3.2 2.9 2.3 24.5
2018 -0.9 10.1 3.5 0.7 8.7 3.6 0.3 6.7 -0.1 -3.8 1.4 3.7 33.9
2019 3.1 3.0 0.1 1.5 8.9 0.0 2.2 1.7 -3.6 5.7 7.4 6.4 36.4
2020 5.9 6.4 8.5 -0.7 0.5 0.0 2.0 -3.8 -1.5 -0.0 0.4 4.8 22.5
2021 -0.9 4.4 1.2 6.3 0.4 -1.7 3.1 7.6 6.5 5.7 -0.8 4.7 36.5
2022 0.2 2.7 3.3 4.1 4.5 1.5 -0.3 0.3 -2.3 1.7 5.6 1.9 23.2
2023 1.6 3.1 -2.1 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.8
2024 2.9 -2.6 0.1 2.0 -1.6 6.6 0.3 6.3 2.4 2.6 6.4 2.9 28.3
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.2 -0.0 – – – – 8.7
Total: 4.015788555145264
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 4.9 -0.7 5.0 2.9 2.8 3.6 -2.3 -0.0 – – – – 16.2
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.2 1.4 2.1 -1.8 1.6 -2.8 2.4 0.9 0.8 1.2 -0.4 0.6 5.8
2023 6.0 -3.3 1.5 1.7 0.3 4.0 0.9 -1.9 0.3 1.7 5.7 7.6 24.5
2024 -2.9 6.2 7.4 -2.9 0.6 -0.6 3.4 0.7 3.9 1.2 2.1 -2.7 16.4
2025 5.0 -0.7 5.0 2.9 2.8 3.6 -2.3 -0.0 – – – – 16.3
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 8.5 1.4 -1.0 2.7 2.5 2.7 11.2 -0.1 -6.2 0.5 4.8 8.2 35.2
2021 -1.1 4.9 4.6 0.6 1.2 -0.5 2.4 -0.4 -3.1 1.7 -2.7 2.0 9.6
2022 -0.9 1.4 2.1 -1.8 1.6 -2.8 2.4 0.9 0.8 1.2 -0.4 0.6 5.1
2023 6.0 -3.3 1.5 1.7 0.3 4.0 0.9 -1.9 0.3 1.7 5.7 7.6 24.5
2024 -2.9 6.2 7.4 -2.9 0.6 -0.6 3.4 0.7 3.9 1.2 2.1 -2.7 16.4
2025 5.0 -0.7 5.0 2.9 2.8 3.6 -2.3 -0.0 – – – – 16.3
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2016 1.9 10.8 1.8 3.8 -1.8 10.7 4.9 -3.2 -2.1 2.6 0.1 9.5 39.0
2017 2.5 9.7 -4.7 6.5 11.6 0.9 3.7 9.5 -0.5 3.9 2.9 8.4 54.4
2018 5.6 -5.2 -3.7 -0.4 -2.0 -0.2 1.1 0.7 -2.2 -1.4 2.0 8.7 3.0
2019 7.2 -0.9 1.3 3.7 9.7 15.4 -0.8 8.7 -5.5 -0.7 0.4 6.7 45.2
2020 8.5 1.4 -1.0 2.7 2.5 2.7 11.2 -0.1 -6.2 0.5 4.8 8.2 35.2
2021 -1.1 4.9 4.6 0.6 1.2 -0.5 2.4 -0.4 -3.1 1.7 -2.7 2.0 9.6
2022 -0.9 1.4 2.1 -1.8 1.6 -2.8 2.4 0.9 0.8 1.2 -0.4 0.6 5.1
2023 6.0 -3.3 1.5 1.7 0.3 4.0 0.9 -1.9 0.3 1.7 5.7 7.6 24.5
2024 -2.9 6.2 7.4 -2.9 0.6 -0.6 3.4 0.7 3.9 1.2 2.1 -2.7 16.4
2025 5.0 -0.7 5.0 2.9 2.8 3.6 -2.3 -0.0 – – – – 16.3
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 5.4 0.1 2.7 4.0 3.3 3.7 -0.4 0.0 – – – – 18.8
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -3.1 1.2 1.9 -4.9 -1.6 -8.0 5.3 -2.9 -4.5 1.7 3.0 0.2 -11.7
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.6 6.2 27.3
2024 -0.4 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.3
2025 5.5 0.1 2.7 4.0 3.3 3.7 -0.4 0.0 – – – – 18.9
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 8.2 0.3 -1.5 4.1 2.6 3.1 8.2 0.6 -3.6 0.4 5.1 7.9 35.4
2021 -0.7 -2.2 1.1 4.0 0.3 -0.2 4.7 0.9 -3.4 3.0 -0.2 2.1 9.4
2022 -4.5 1.2 1.9 -4.9 -1.6 -8.0 5.3 -2.9 -4.5 1.7 3.0 0.2 -13.1
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.6 6.2 27.3
2024 -0.4 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.3
2025 5.5 0.1 2.7 4.0 3.3 3.7 -0.4 0.0 – – – – 18.9
beta_global
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2016 2.8 8.9 2.5 3.9 -0.4 11.7 4.4 -2.6 1.9 0.5 -6.8 5.2 32.0
2017 5.4 8.7 -1.6 5.7 10.1 0.6 4.9 7.3 -0.9 2.8 3.1 6.4 52.5
2018 0.2 -3.6 -2.2 0.3 -1.7 -3.1 2.0 0.8 -2.5 -0.9 -0.1 5.8 -5.0
2019 6.2 0.9 3.6 3.9 8.2 12.8 0.0 7.1 -3.7 2.5 -1.0 4.6 45.1
2020 8.2 0.3 -1.5 4.1 2.6 3.1 8.2 0.6 -3.6 0.4 5.1 7.9 35.4
2021 -0.7 -2.2 1.1 4.0 0.3 -0.2 4.7 0.9 -3.4 3.0 -0.2 2.1 9.4
2022 -4.5 1.2 1.9 -4.9 -1.6 -8.0 5.3 -2.9 -4.5 1.7 3.0 0.2 -13.1
2023 7.8 -3.8 6.5 2.3 0.4 2.1 1.5 -2.2 -3.3 2.2 7.6 6.2 27.3
2024 -0.4 4.4 7.3 -4.6 3.3 0.8 5.2 1.8 4.4 -0.0 3.1 -3.0 22.3
2025 5.5 0.1 2.7 4.0 3.3 3.7 -0.4 0.0 – – – – 18.9
beta_global_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 4.0 -0.2 3.6 2.4 2.4 3.0 -1.1 -0.0 – – – – 14.1
beta_global_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.5 1.3 1.9 -1.6 1.0 -2.7 2.5 0.5 0.0 1.4 0.5 0.7 5.0
2023 5.0 -2.4 2.2 1.5 0.6 3.0 1.1 -1.1 -0.0 1.6 4.8 5.7 22.0
2024 -1.6 4.6 5.7 -2.2 1.0 -0.0 3.0 1.1 3.2 0.9 1.9 -1.8 15.8
2025 4.0 -0.2 3.6 2.4 2.4 3.0 -1.1 -0.0 – – – – 14.1
beta_global_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 6.4 1.0 -0.7 2.3 1.9 2.0 7.9 0.0 -4.3 0.5 3.8 6.3 27.1
2021 -0.6 2.5 2.9 1.1 0.9 -0.3 2.3 -0.0 -2.2 1.6 -1.4 1.7 8.5
2022 -1.1 1.3 1.9 -1.6 1.0 -2.7 2.5 0.5 0.0 1.4 0.5 0.7 4.4
2023 5.0 -2.4 2.2 1.5 0.6 3.0 1.1 -1.1 -0.0 1.6 4.8 5.7 22.0
2024 -1.6 4.6 5.7 -2.2 1.0 -0.0 3.0 1.1 3.2 0.9 1.9 -1.8 15.8
2025 4.0 -0.2 3.6 2.4 2.4 3.0 -1.1 -0.0 – – – – 14.1
beta_global_timing_long_bias
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2016 1.8 8.0 1.7 3.0 -0.9 8.3 3.8 -1.9 -0.8 2.0 -0.8 6.7 30.9
2017 2.5 7.3 -2.8 4.9 8.8 0.9 3.1 7.0 -0.2 2.9 2.5 6.1 43.0
2018 3.5 -3.6 -2.4 -0.1 -1.5 -0.5 1.1 0.7 -1.5 -0.6 1.3 6.2 2.6
2019 5.3 -0.3 1.3 3.0 7.3 11.2 -0.3 6.4 -3.7 0.1 0.3 4.9 35.5
2020 6.4 1.0 -0.7 2.3 1.9 2.0 7.9 0.0 -4.3 0.5 3.8 6.3 27.1
2021 -0.6 2.5 2.9 1.1 0.9 -0.3 2.3 -0.0 -2.2 1.6 -1.4 1.7 8.5
2022 -1.1 1.3 1.9 -1.6 1.0 -2.7 2.5 0.5 0.0 1.4 0.5 0.7 4.4
2023 5.0 -2.4 2.2 1.5 0.6 3.0 1.1 -1.1 -0.0 1.6 4.8 5.7 22.0
2024 -1.6 4.6 5.7 -2.2 1.0 -0.0 3.0 1.1 3.2 0.9 1.9 -1.8 15.8
2025 4.0 -0.2 3.6 2.4 2.4 3.0 -1.1 -0.0 – – – – 14.1
portfolio_name:
- wealth

risk_target:
- beta_global: 1
- alfa: 1

allocation method:
- vol

running allocation...

clusters_weights_resampled
beta alfa
2018-12-27 0.702098 0.572327
2019-01-31 0.690059 0.584839
2019-02-28 0.695379 0.584341
2019-03-28 0.672082 0.601721
2019-04-25 0.656936 0.615795
... ... ...
2025-03-27 0.703975 0.585678
2025-04-24 0.688190 0.599620
2025-05-29 0.712346 0.595179
2025-06-26 0.720786 0.604958
2025-07-31 0.732742 0.622484

80 rows × 2 columns

clusters_weights
beta alfa cdi
date
2018-12-27 0.702098 0.572327 -0.274425
2018-12-28 0.703238 0.568249 -0.271486
2018-12-31 0.703440 0.567860 -0.271300
2019-01-01 0.703415 0.567907 -0.271322
2019-01-02 0.703899 0.563587 -0.267487
... ... ... ...
2025-07-28 0.715612 0.613039 -0.328650
2025-07-29 0.715228 0.610074 -0.325302
2025-07-30 0.711960 0.612291 -0.324250
2025-07-31 0.732742 0.622484 -0.355225
2025-08-01 0.732782 0.622468 -0.355250

1722 rows × 3 columns

clusters_weights (pack_only)
ls new btcusd_brl_hedged dif3yfut xauusd_brl_hedged spx_brl_hedged ust10y smal11_excdi usdbrlfut lo_timing new cdi
date
2018-12-27 0.575739 -0.004203 0.282954 0.557302 -0.020841 1.940878 0.013753 0.017910 0.208377 -2.257252
2018-12-28 0.571372 -0.006989 0.278376 0.552192 -0.019396 1.910954 0.063028 0.006921 0.207337 -2.215471
2018-12-31 0.570940 -0.010191 0.278216 0.554376 -0.017603 1.918488 0.062898 0.000809 0.209193 -2.225203
2019-01-01 0.570987 -0.012545 0.278238 0.554313 -0.015779 1.920503 0.063232 -0.000369 0.208958 -2.226438
2019-01-02 0.563888 -0.007176 0.278418 0.544424 -0.015958 1.923224 0.063261 0.000000 0.209798 -2.218201
... ... ... ... ... ... ... ... ... ... ...
2025-07-28 0.651522 0.124835 0.011105 0.239001 0.231020 0.450841 -0.065385 -0.021340 0.171859 -0.869078
2025-07-29 0.648222 0.123691 0.214997 0.183700 0.226819 0.450104 -0.064978 -0.005268 0.170528 -0.803064
2025-07-30 0.652135 0.124817 0.203265 0.089526 0.229410 0.637658 -0.064001 -0.008798 0.172557 -0.906103
2025-07-31 0.666682 0.126278 -0.143887 0.073527 0.252873 0.764679 -0.062778 0.024633 0.218901 -1.102939
2025-08-01 0.666670 0.121213 -0.144562 0.063208 0.254939 1.020700 -0.062754 0.024672 0.235190 -1.361921

1722 rows × 10 columns

securities_weights
isae4 brsr6 hapv3 brml3 ctip3 mlas3 gmat3 cstb4 fher3 itub4 ... klbn11 sbsp3 enev3 hbor3 ciel3 mglu3 bnca3 krot11 aeri3 cdi
date
2018-12-27 0.037164 0.038277 0.000000 -0.016201 0.0 0.0 0.000000 0.0 0.0 0.003992 ... -0.007997 0.002990 0.040996 0.0 -0.000852 0.000758 0.0 0.0 0.0 -1.670884
2018-12-28 0.047762 0.047568 0.000000 -0.024639 0.0 0.0 0.000000 0.0 0.0 0.005368 ... -0.016703 0.005034 0.047794 0.0 0.000552 -0.008430 0.0 0.0 0.0 -1.711949
2018-12-31 0.047851 0.047655 0.000000 -0.024620 0.0 0.0 0.000000 0.0 0.0 0.005364 ... -0.016690 0.005030 0.047883 0.0 0.000552 -0.008424 0.0 0.0 0.0 -1.722062
2019-01-01 0.047840 0.047643 0.000000 -0.024622 0.0 0.0 0.000000 0.0 0.0 0.005365 ... -0.016692 0.005031 0.047872 0.0 0.000552 -0.008425 0.0 0.0 0.0 -1.723256
2019-01-02 0.047624 0.048374 0.000000 -0.024994 0.0 0.0 0.000000 0.0 0.0 0.005514 ... -0.016898 0.005411 0.048912 0.0 0.000589 -0.008558 0.0 0.0 0.0 -1.721967
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
2025-07-28 -0.013620 0.013470 -0.006133 0.000000 0.0 0.0 -0.003978 0.0 0.0 -0.004081 ... -0.009737 0.001768 -0.013154 0.0 0.000000 0.005933 0.0 0.0 0.0 -0.151733
2025-07-29 -0.013514 0.013231 -0.006158 0.000000 0.0 0.0 -0.003920 0.0 0.0 -0.004062 ... -0.009573 0.001749 -0.013094 0.0 0.000000 0.005707 0.0 0.0 0.0 -0.092836
2025-07-30 -0.013618 0.013355 -0.006331 0.000000 0.0 0.0 -0.003960 0.0 0.0 -0.004094 ... -0.009606 0.001776 -0.013193 0.0 0.000000 0.005980 0.0 0.0 0.0 -0.197977
2025-07-31 -0.013426 0.013709 -0.006400 0.000000 0.0 0.0 -0.003999 0.0 0.0 -0.004202 ... -0.009792 0.001808 -0.013337 0.0 0.000000 0.005889 0.0 0.0 0.0 -0.381215
2025-08-01 -0.006358 0.014589 -0.007724 0.000000 0.0 0.0 0.001858 0.0 0.0 -0.006964 ... -0.010174 0.000658 -0.015273 0.0 0.000000 0.002135 0.0 0.0 0.0 -0.579864

1722 rows × 373 columns

cota_gross
date
2018-12-27    1.000000
2018-12-28    1.010756
2018-12-31    1.011383
2019-01-01    1.011300
2019-01-02    1.025733
                ...   
2025-07-28    7.830894
2025-07-29    7.910081
2025-07-30    7.934314
2025-07-31    7.928625
2025-08-01    7.928062
Length: 1722, dtype: float64
cota_net
date
2018-12-27    1.000000
2018-12-28    1.010757
2018-12-31    1.011384
2019-01-01    1.011300
2019-01-02    1.025733
                ...   
2025-07-28    7.827726
2025-07-29    7.906881
2025-07-30    7.931107
2025-07-31    7.925422
2025-08-01    7.924859
Length: 1722, dtype: float64
running sizing...

clusters_weights_resampled_sized
beta alfa cdi
2018-12-27 NaN NaN NaN
2019-01-24 0.069618 0.056508 -0.026127
2019-01-25 0.698681 0.560427 -0.259108
2019-01-31 0.690059 0.584839 -0.274898
2019-02-28 0.695379 0.584341 -0.279721
... ... ... ...
2025-03-27 0.703975 0.585678 -0.289653
2025-04-24 0.688190 0.599620 -0.287810
2025-05-29 0.712346 0.595179 -0.307525
2025-06-26 0.720786 0.604958 -0.325743
2025-07-31 0.732742 0.622484 -0.355225

107 rows × 3 columns

clusters_weights_sized
beta alfa cdi
date
2018-12-27 NaN NaN 1.000000
2018-12-28 NaN NaN 1.000000
2018-12-31 NaN NaN 1.000000
2019-01-01 NaN NaN 1.000000
2019-01-02 NaN NaN 1.000000
... ... ... ...
2025-07-28 0.718492 0.615506 -0.333999
2025-07-29 0.718209 0.612616 -0.330825
2025-07-30 0.715047 0.614946 -0.329993
2025-07-31 0.732742 0.622484 -0.355225
2025-08-01 0.732782 0.622468 -0.355250

1722 rows × 3 columns

clusters_weights_sized (pack_only)
ls new btcusd_brl_hedged dif3yfut xauusd_brl_hedged spx_brl_hedged ust10y smal11_excdi usdbrlfut lo_timing new cdi
date
2018-12-27 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2018-12-28 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2018-12-31 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2019-01-01 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
2019-01-02 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000
... ... ... ... ... ... ... ... ... ... ...
2025-07-28 0.654145 0.125338 0.011150 0.239963 0.231949 0.452656 -0.065648 -0.021426 0.172551 -0.876602
2025-07-29 0.650924 0.124206 0.215893 0.184466 0.227765 0.451979 -0.065249 -0.005290 0.171238 -0.810578
2025-07-30 0.654963 0.125358 0.204146 0.089914 0.230405 0.640423 -0.064278 -0.008836 0.173306 -0.914368
2025-07-31 0.666682 0.126278 -0.143887 0.073527 0.252873 0.764679 -0.062778 0.024633 0.218901 -1.102939
2025-08-01 0.666670 0.121213 -0.144562 0.063208 0.254939 1.020700 -0.062754 0.024672 0.235190 -1.361921

1722 rows × 10 columns

securities_weights
isae4 brsr6 hapv3 brml3 ctip3 mlas3 gmat3 cstb4 fher3 itub4 ... klbn11 sbsp3 enev3 hbor3 ciel3 mglu3 bnca3 krot11 aeri3 cdi
date
2018-12-27 0.000000 0.000000 0.000000 0.0 0.0 0.0 0.000000 0.0 0.0 0.000000 ... 0.000000 0.000000 0.000000 0.0 0.0 0.000000 0.0 0.0 0.0 1.000000
2018-12-28 0.000000 0.000000 0.000000 0.0 0.0 0.0 0.000000 0.0 0.0 0.000000 ... 0.000000 0.000000 0.000000 0.0 0.0 0.000000 0.0 0.0 0.0 1.000000
2018-12-31 0.000000 0.000000 0.000000 0.0 0.0 0.0 0.000000 0.0 0.0 0.000000 ... 0.000000 0.000000 0.000000 0.0 0.0 0.000000 0.0 0.0 0.0 1.000000
2019-01-01 0.000000 0.000000 0.000000 0.0 0.0 0.0 0.000000 0.0 0.0 0.000000 ... 0.000000 0.000000 0.000000 0.0 0.0 0.000000 0.0 0.0 0.0 1.000000
2019-01-02 0.000000 0.000000 0.000000 0.0 0.0 0.0 0.000000 0.0 0.0 0.000000 ... 0.000000 0.000000 0.000000 0.0 0.0 0.000000 0.0 0.0 0.0 1.000000
... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ...
2025-07-28 -0.013675 0.013524 -0.006157 0.0 0.0 0.0 -0.003994 0.0 0.0 -0.004098 ... -0.009776 0.001775 -0.013207 0.0 0.0 0.005957 0.0 0.0 0.0 -0.156369
2025-07-29 -0.013570 0.013286 -0.006183 0.0 0.0 0.0 -0.003937 0.0 0.0 -0.004079 ... -0.009613 0.001756 -0.013148 0.0 0.0 0.005731 0.0 0.0 0.0 -0.097390
2025-07-30 -0.013677 0.013413 -0.006358 0.0 0.0 0.0 -0.003977 0.0 0.0 -0.004112 ... -0.009648 0.001784 -0.013250 0.0 0.0 0.006006 0.0 0.0 0.0 -0.203172
2025-07-31 -0.013426 0.013709 -0.006400 0.0 0.0 0.0 -0.003999 0.0 0.0 -0.004202 ... -0.009792 0.001808 -0.013337 0.0 0.0 0.005889 0.0 0.0 0.0 -0.381215
2025-08-01 -0.006358 0.014589 -0.007724 0.0 0.0 0.0 0.001858 0.0 0.0 -0.006964 ... -0.010174 0.000658 -0.015273 0.0 0.0 0.002135 0.0 0.0 0.0 -0.579864

1722 rows × 373 columns

cota_gross_sized
date
2018-12-27    1.000000
2018-12-28    1.000246
2018-12-31    1.000492
2019-01-01    1.000492
2019-01-02    1.000739
                ...   
2025-07-28    7.266070
2025-07-29    7.339825
2025-07-30    7.362388
2025-07-31    7.357069
2025-08-01    7.356546
Length: 1722, dtype: float64
cota_net_sized
date
2018-12-27    1.000000
2018-12-28    1.000246
2018-12-31    1.000492
2019-01-01    1.000492
2019-01-02    1.000739
                ...   
2025-07-28    7.248179
2025-07-29    7.321752
2025-07-30    7.344262
2025-07-31    7.338959
2025-08-01    7.338437
Length: 1722, dtype: float64
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.2 -0.0 – – – – 8.7
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 0.2 2.8 3.3 4.1 4.5 1.5 0.1 0.3 -2.2 1.7 5.6 1.9 23.8
2023 1.6 3.0 -2.5 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.3
2024 2.9 -2.5 0.1 3.9 -0.7 6.6 0.3 10.5 2.4 2.6 6.3 3.0 35.4
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.2 -0.0 – – – – 8.7
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 5.9 6.4 6.4 -1.2 0.5 0.0 2.0 -3.8 -1.5 -0.0 0.4 4.8 19.9
2021 -0.9 4.4 1.2 6.3 0.4 -1.7 3.1 7.6 6.5 7.7 -1.2 4.7 38.1
2022 0.2 2.8 3.3 4.1 4.5 1.5 0.1 0.3 -2.2 1.7 5.6 1.9 23.8
2023 1.6 3.0 -2.5 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.3
2024 2.9 -2.5 0.1 3.9 -0.7 6.6 0.3 10.5 2.4 2.6 6.3 3.0 35.4
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.2 -0.0 – – – – 8.7
alfa
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2016 4.6 -0.6 -1.5 2.9 -0.6 -1.3 3.4 2.8 -2.0 5.2 0.5 3.3 16.7
2017 5.1 9.1 -2.0 2.2 -2.1 -0.4 2.4 -1.0 2.8 3.2 2.9 2.3 24.5
2018 -0.9 10.1 3.5 0.7 8.6 7.6 0.3 6.7 -0.1 -3.8 1.4 3.7 37.8
2019 3.1 3.0 0.1 1.5 8.9 0.0 2.2 1.7 -3.3 5.7 7.4 6.4 36.7
2020 5.9 6.4 6.4 -1.2 0.5 0.0 2.0 -3.8 -1.5 -0.0 0.4 4.8 19.9
2021 -0.9 4.4 1.2 6.3 0.4 -1.7 3.1 7.6 6.5 7.7 -1.2 4.7 38.1
2022 0.2 2.8 3.3 4.1 4.5 1.5 0.1 0.3 -2.2 1.7 5.6 1.9 23.8
2023 1.6 3.0 -2.5 -0.9 -0.7 8.2 -2.3 6.0 6.1 4.8 2.2 3.8 29.3
2024 2.9 -2.5 0.1 3.9 -0.7 6.6 0.3 10.5 2.4 2.6 6.3 3.0 35.4
2025 -0.4 1.0 0.0 -0.0 2.5 5.4 0.2 -0.0 – – – – 8.7
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 4.9 -0.7 5.0 2.9 2.8 3.6 -2.3 -0.0 – – – – 16.2
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.2 1.4 2.1 -1.8 1.6 -2.8 2.4 0.9 0.8 1.2 -0.4 0.6 5.8
2023 6.0 -3.3 1.5 1.7 0.3 4.0 0.9 -1.9 0.3 1.7 5.7 7.6 24.5
2024 -2.9 6.2 7.4 -2.9 0.6 -0.6 3.4 0.7 3.9 1.2 2.1 -2.7 16.4
2025 5.0 -0.7 5.0 2.9 2.8 3.6 -2.3 -0.0 – – – – 16.3
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 8.5 1.4 -1.0 2.7 2.5 2.7 11.2 -0.1 -6.2 0.5 4.8 8.2 35.2
2021 -1.1 4.9 4.6 0.6 1.2 -0.5 2.4 -0.4 -3.1 1.7 -2.7 2.0 9.6
2022 -0.9 1.4 2.1 -1.8 1.6 -2.8 2.4 0.9 0.8 1.2 -0.4 0.6 5.1
2023 6.0 -3.3 1.5 1.7 0.3 4.0 0.9 -1.9 0.3 1.7 5.7 7.6 24.5
2024 -2.9 6.2 7.4 -2.9 0.6 -0.6 3.4 0.7 3.9 1.2 2.1 -2.7 16.4
2025 5.0 -0.7 5.0 2.9 2.8 3.6 -2.3 -0.0 – – – – 16.3
beta
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2016 1.9 10.8 1.8 3.8 -1.8 10.7 4.9 -3.2 -2.1 2.6 0.1 9.5 39.0
2017 2.5 9.7 -4.7 6.5 11.6 0.9 3.7 9.5 -0.5 3.9 2.9 8.4 54.4
2018 5.6 -5.2 -3.7 -0.4 -2.0 -0.2 1.1 0.7 -2.2 -1.4 2.0 8.7 3.0
2019 7.2 -0.9 1.3 3.7 9.7 15.4 -0.8 8.7 -5.5 -0.7 0.4 6.7 45.2
2020 8.5 1.4 -1.0 2.7 2.5 2.7 11.2 -0.1 -6.2 0.5 4.8 8.2 35.2
2021 -1.1 4.9 4.6 0.6 1.2 -0.5 2.4 -0.4 -3.1 1.7 -2.7 2.0 9.6
2022 -0.9 1.4 2.1 -1.8 1.6 -2.8 2.4 0.9 0.8 1.2 -0.4 0.6 5.1
2023 6.0 -3.3 1.5 1.7 0.3 4.0 0.9 -1.9 0.3 1.7 5.7 7.6 24.5
2024 -2.9 6.2 7.4 -2.9 0.6 -0.6 3.4 0.7 3.9 1.2 2.1 -2.7 16.4
2025 5.0 -0.7 5.0 2.9 2.8 3.6 -2.3 -0.0 – – – – 16.3
wealth
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 3.2 -0.2 3.0 2.1 3.9 5.3 -2.1 -0.0 – – – – 15.2
wealth
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.3 2.5 3.2 1.0 3.6 -1.3 1.4 0.4 -1.1 1.5 3.0 1.9 15.8
2023 4.3 -0.8 -1.0 0.2 0.0 8.5 -1.1 2.0 4.1 4.3 6.4 9.0 35.9
2024 -1.1 2.9 5.5 -0.2 -0.1 3.9 2.4 7.0 3.9 2.2 5.4 -0.7 31.1
2025 3.3 -0.2 3.0 2.1 3.9 5.3 -2.1 -0.0 – – – – 15.3
wealth
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 9.0 4.7 2.8 1.0 1.8 1.8 8.7 -2.1 -5.2 0.3 3.5 8.2 34.5
2021 -1.3 5.9 4.2 5.2 0.9 -1.9 3.7 5.3 2.5 6.3 -2.9 4.1 32.0
2022 -0.8 2.5 3.2 1.0 3.6 -1.3 1.4 0.4 -1.1 1.5 3.0 1.9 15.3
2023 4.3 -0.8 -1.0 0.2 0.0 8.5 -1.1 2.0 4.1 4.3 6.4 9.0 35.9
2024 -1.1 2.9 5.5 -0.2 -0.1 3.9 2.4 7.0 3.9 2.2 5.4 -0.7 31.1
2025 3.3 -0.2 3.0 2.1 3.9 5.3 -2.1 -0.0 – – – – 15.3
wealth
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2016 4.0 6.3 -0.2 4.1 -1.9 5.7 5.2 -0.7 -3.1 4.8 0.1 8.1 32.4
2017 4.7 12.3 -4.7 5.5 5.8 0.1 3.8 5.2 1.3 4.5 3.7 6.9 49.1
2018 2.9 2.7 -0.3 0.0 4.1 4.7 0.7 4.7 -1.6 -3.6 2.1 8.1 24.5
2019 6.7 1.0 0.8 3.3 11.8 9.7 1.0 6.2 -5.8 3.5 5.3 8.3 51.8
2020 9.0 4.7 2.8 1.0 1.8 1.8 8.7 -2.1 -5.2 0.3 3.5 8.2 34.5
2021 -1.3 5.9 4.2 5.2 0.9 -1.9 3.7 5.3 2.5 6.3 -2.9 4.1 32.0
2022 -0.8 2.5 3.2 1.0 3.6 -1.3 1.4 0.4 -1.1 1.5 3.0 1.9 15.3
2023 4.3 -0.8 -1.0 0.2 0.0 8.5 -1.1 2.0 4.1 4.3 6.4 9.0 35.9
2024 -1.1 2.9 5.5 -0.2 -0.1 3.9 2.4 7.0 3.9 2.2 5.4 -0.7 31.1
2025 3.3 -0.2 3.0 2.1 3.9 5.3 -2.1 -0.0 – – – – 15.3
No description has been provided for this image
Out[30]:
ls new btcusd_brl_hedged dif3yfut xauusd_brl_hedged spx_brl_hedged tc_cosmos_fic ust10y smal11_excdi usdbrlfut lo_timing new cdi
2025-07 0.5 1.17 -0.37 -0.31 0.36 -0.06 -0.87 0.22 -0.15 -1.18 -1.4
Total: 182.45966148376465

Exporting Prepare¶

Previdência¶

Total: 11.009868860244751
ntnb_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 1.8 0.4 1.9 3.1 0.8 0.8 -0.8 0.0 – – – – 8.0
ntnb_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.3 0.3 3.4 0.6 1.1 0.2 -0.8 0.9 0.6 1.5 -0.8 -0.0 6.7
2023 0.8 1.6 2.6 1.7 2.7 1.6 0.7 0.0 -1.1 -1.1 2.9 2.2 14.6
2024 -0.2 0.7 0.0 -1.8 1.3 -0.7 1.6 0.6 -0.5 -0.3 -0.5 -2.3 -2.1
2025 1.8 0.4 1.9 3.1 0.8 0.8 -0.8 0.0 – – – – 8.0
ntnb_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 1.1 0.9 -3.8 1.1 3.5 1.6 2.7 -1.1 -1.1 -0.4 1.8 4.3 10.6
2021 -0.8 -2.2 -0.6 1.5 0.5 -0.0 -0.6 -0.4 0.2 -1.9 3.4 1.2 0.3
2022 -0.5 0.3 3.4 0.6 1.1 0.2 -0.8 0.9 0.6 1.5 -0.8 -0.0 6.5
2023 0.8 1.6 2.6 1.7 2.7 1.6 0.7 0.0 -1.1 -1.1 2.9 2.2 14.6
2024 -0.2 0.7 0.0 -1.8 1.3 -0.7 1.6 0.6 -0.5 -0.3 -0.5 -2.3 -2.1
2025 1.8 0.4 1.9 3.1 0.8 0.8 -0.8 0.0 – – – – 8.0
ntnb_lo
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2019 2.7 0.5 0.9 1.2 2.7 3.1 1.0 0.0 2.6 2.8 -1.5 1.4 17.4
2020 1.1 0.9 -3.8 1.1 3.5 1.6 2.7 -1.1 -1.1 -0.4 1.8 4.3 10.6
2021 -0.8 -2.2 -0.6 1.5 0.5 -0.0 -0.6 -0.4 0.2 -1.9 3.4 1.2 0.3
2022 -0.5 0.3 3.4 0.6 1.1 0.2 -0.8 0.9 0.6 1.5 -0.8 -0.0 6.5
2023 0.8 1.6 2.6 1.7 2.7 1.6 0.7 0.0 -1.1 -1.1 2.9 2.2 14.6
2024 -0.2 0.7 0.0 -1.8 1.3 -0.7 1.6 0.6 -0.5 -0.3 -0.5 -2.3 -2.1
2025 1.8 0.4 1.9 3.1 0.8 0.8 -0.8 0.0 – – – – 8.0
dif8yfut_av_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -1.7 1.4 -0.0 3.4 0.7 3.4 -1.3 0.0 – – – – 5.9
dif8yfut_av_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.3 -1.5 6.2 2.6 -1.3 3.2 3.2 3.6 -1.9 -0.5 6.6 1.9 21.8
2023 -2.1 0.3 2.7 4.1 5.4 6.3 -1.5 -2.3 2.5 0.6 2.6 3.7 22.3
2024 -1.2 -0.6 0.4 5.2 -0.5 1.9 -0.8 1.0 1.7 1.5 3.9 5.3 17.8
2025 -1.7 1.4 -0.0 3.4 0.7 3.4 -1.3 0.0 – – – – 5.9
dif8yfut_av_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 0.5 0.1 0.1 -4.9 1.3 0.2 3.5 -4.1 -0.5 -0.8 -3.1 5.8 -1.9
2021 -1.0 4.7 0.9 -0.7 0.9 -0.7 1.6 6.4 2.6 6.3 -1.7 2.5 21.8
2022 -0.3 -1.5 6.2 2.6 -1.3 3.2 3.2 3.6 -1.9 -0.5 6.6 1.9 21.8
2023 -2.1 0.3 2.7 4.1 5.4 6.3 -1.5 -2.3 2.5 0.6 2.6 3.7 22.3
2024 -1.2 -0.6 0.4 5.2 -0.5 1.9 -0.8 1.0 1.7 1.5 3.9 5.3 17.8
2025 -1.7 1.4 -0.0 3.4 0.7 3.4 -1.3 0.0 – – – – 5.9
dif8yfut_av_timing
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2019 2.8 -0.4 -1.6 -1.5 1.8 8.2 2.0 -1.5 1.8 5.0 0.6 -0.4 16.8
2020 0.5 0.1 0.1 -4.9 1.3 0.2 3.5 -4.1 -0.5 -0.8 -3.1 5.8 -1.9
2021 -1.0 4.7 0.9 -0.7 0.9 -0.7 1.6 6.4 2.6 6.3 -1.7 2.5 21.8
2022 -0.3 -1.5 6.2 2.6 -1.3 3.2 3.2 3.6 -1.9 -0.5 6.6 1.9 21.8
2023 -2.1 0.3 2.7 4.1 5.4 6.3 -1.5 -2.3 2.5 0.6 2.6 3.7 22.3
2024 -1.2 -0.6 0.4 5.2 -0.5 1.9 -0.8 1.0 1.7 1.5 3.9 5.3 17.8
2025 -1.7 1.4 -0.0 3.4 0.7 3.4 -1.3 0.0 – – – – 5.9
prev
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2025 -0.5 1.0 0.7 3.7 0.6 2.6 -1.6 0.0 – – – – 6.5
prev
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2022 -0.5 -1.1 5.9 2.0 -0.5 2.1 1.7 2.8 -1.3 0.2 4.0 1.1 16.4
2023 -1.3 0.8 2.9 3.5 4.9 5.0 -0.9 -1.8 1.0 -0.3 3.1 3.5 20.4
2024 -1.2 -0.3 0.1 2.5 0.1 0.8 0.1 0.9 0.8 0.8 2.3 2.4 9.3
2025 -0.5 1.0 0.7 3.7 0.6 2.6 -1.6 0.0 – – – – 6.5
prev
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2020 0.8 0.4 -1.6 -3.0 2.6 0.9 3.8 -3.5 -0.9 -0.8 -1.3 6.2 3.6
2021 -1.1 2.1 0.4 0.2 0.8 -0.5 0.8 4.2 1.8 3.3 0.4 2.2 14.6
2022 -0.6 -1.1 5.9 2.0 -0.5 2.1 1.7 2.8 -1.3 0.2 4.0 1.1 16.3
2023 -1.3 0.8 2.9 3.5 4.9 5.0 -0.9 -1.8 1.0 -0.3 3.1 3.5 20.4
2024 -1.2 -0.3 0.1 2.5 0.1 0.8 0.1 0.9 0.8 0.8 2.3 2.4 9.3
2025 -0.5 1.0 0.7 3.7 0.6 2.6 -1.6 0.0 – – – – 6.5
prev
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year %
year
2019 3.2 -0.2 -0.7 -0.5 2.5 7.2 1.8 -1.1 2.4 4.8 -0.4 0.4 19.4
2020 0.8 0.4 -1.6 -3.0 2.6 0.9 3.8 -3.5 -0.9 -0.8 -1.3 6.2 3.6
2021 -1.1 2.1 0.4 0.2 0.8 -0.5 0.8 4.2 1.8 3.3 0.4 2.2 14.6
2022 -0.6 -1.1 5.9 2.0 -0.5 2.1 1.7 2.8 -1.3 0.2 4.0 1.1 16.3
2023 -1.3 0.8 2.9 3.5 4.9 5.0 -0.9 -1.8 1.0 -0.3 3.1 3.5 20.4
2024 -1.2 -0.3 0.1 2.5 0.1 0.8 0.1 0.9 0.8 0.8 2.3 2.4 9.3
2025 -0.5 1.0 0.7 3.7 0.6 2.6 -1.6 0.0 – – – – 6.5

Exporting¶

Out[37]:
2025-08-01 essencial prev
bitfut 0.1212 0.000000
bova11 -0.0000 0.000000
cdi 0.7300 0.500000
cosmos 0.1500 0.000000
dif3yfut -0.1446 0.000000
dif8yfut 0.0000 -0.495322
gold11 0.0632 0.000000
ibovfut 0.0000 0.000000
lo_timing new 0.2352 0.000000
ls new 0.6667 0.000000
ntnb5y_idka 0.0000 0.500000
smal11 -0.0628 0.000000
spxfut 0.2549 0.000000
usdbrlfut 0.0247 0.000000
ust10yfut 1.0207 0.000000
Out[38]:
2025-07-31 essencial prev
bitfut 0.1263 0.000000
bova11 -0.0000 0.000000
cdi 0.6800 0.500000
cosmos 0.1500 0.000000
dif3yfut -0.1439 0.000000
dif8yfut 0.0000 -0.495322
gold11 0.0735 0.000000
ibovfut 0.0000 0.000000
lo_timing new 0.2189 0.000000
ls new 0.6667 0.000000
ntnb5y_idka 0.0000 0.500000
smal11 -0.0628 0.000000
spxfut 0.2529 0.000000
usdbrlfut 0.0246 0.000000
ust10yfut 0.7647 0.000000
Total: 201.18631052970886
Total: 225.5240888595581